This work is an empirical investigation of the nonlinear dynamics of stock markets with emphasis on Indian stock market. There are two main schools of time series analysis. The traditional one, which has a long pedigree in applied statistics, is prevalent among statisticians, social scientists (especially econometricians) and engineers. The more recent school, developed essentially since the 1970s, comes out of physics and nonlinear dynamics. The first views time series as samples from a stochastic process, and applies a mixture of traditional statistical tools and assumptions (linear...