Determinism in Financial Time Series

DOI10.2202/1558-3708.1134MaRDI QIDQ3368319zbMATH OpenOpenAlexFDO

Authors Michael Small, Chi Kong Tse

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1134

zbMATH Keywords

chaoscorrelation dimensionnonlinear dynamicssurrogate data

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Applications of methods and algorithms of nonlinear dynamics in economics and finance
• scientific article; zbMATH DE number 1424454
• scientific article; zbMATH DE number 4125179
• On nonlinear, stochastic dynamics in economic and financial time series
• Nonlinear dynamics in economics and finance

Cites work

• An improved estimator of dimension and some comments on providing confidence intervals
• Chaos and nonlinear forecastability in economics and finance
• Constrained-realization Monte-Carlo method for hypothesis testing
• Dangers of geometric filtering
• Estimating dimension from small samples
• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• Measuring the strangeness of strange attractors
• On nonlinear, stochastic dynamics in economic and financial time series
• On selecting models for nonlinear time series
• Testing for nonlinearity in time series: the method of surrogate data
• The futility of utility: how market dynamics marginalize Adam Smith

Cited in

(15)

• Statistical moments of Gaussian kernel correlation sum and weighted least square estimator of correlation dimension and noise level
• Chaotic signals inside some tick-by-tick financial time series
• Algorithms for generating surrogate data for sparsely quantized time series
• Does composite index of NYSE represents chaos in the long time scale?
• Time reversal invariance in finance
• Applications of methods and algorithms of nonlinear dynamics in economics and finance
• Unraveling chaotic attractors by complex networks and measurements of stock market complexity
• Conditional entropy and randomness in financial time series
• scientific article; zbMATH DE number 1424454 (Why is no real title available?)
• Modeling the financial market with labyrinth chaos
• Beauty of financial time series. Arificial insymmetrization patterns of stock market indices
• Nonlinear and chaotic analysis of a financial complex system
• Detecting chaos and predicting in Dow Jones Index
• Chaotic analysis of the foreign exchange rates
• Complex economic dynamics: Chaotic saddle, crisis and intermittency

This page was built for publication: Determinism in Financial Time Series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368319)