Solving the chaos model-data paradox in the cryptocurrency market
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Lyapunov exponentsnonlinearity testschaos model-data paradoxcryptocurrency time seriesdirect and Jacobian indirect methods
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15)
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Cites work
- scientific article; zbMATH DE number 3810550 (Why is no real title available?)
- scientific article; zbMATH DE number 1145169 (Why is no real title available?)
- scientific article; zbMATH DE number 970189 (Why is no real title available?)
- A new test for chaos in deterministic systems
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- An algorithm for the \(n\) Lyapunov exponents of an \(n\)-dimensional unknown dynamical system
- Can chaos be observed in quantum gravity?
- Chaos, randomness and multi-fractality in bitcoin market
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- Chaotic time series analysis in economics: balance and perspectives
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- Estimating the Lyapunov Exponent of a Chaotic System With Nonparametric Regression
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets
- Multilayer feedforward networks are universal approximators
- Nonlinear Time Series Analysis
- Nonlinear time-series analysis revisited
- Nonlinearities in the exchange rates returns and volatility
- Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
- On Endogenous Competitive Business Cycles
- On the nature of turbulence
- On the validity of the 0–1 test for chaos
- Practical implementation of nonlinear time series methods: The TISEAN package
- Surrogate time series.
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- Testing for nonlinearity in time series: the method of surrogate data
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Cited in
(6)- Disentangling the nonlinearity effect in cryptocurrency markets during the Covid-19 pandemic: evidence from a regime-switching approach
- Dynamic characteristic of Bitcoin cryptocurrency in the reconstruction scheme
- High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets
- Fractional gray Lotka-Volterra models with application to cryptocurrencies adoption
- Grey Lotka-Volterra models with application to cryptocurrencies adoption
- Asset price-GDP cross feedback. The role of dividend policies in a dynamic setting
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