Solving the chaos model-data paradox in the cryptocurrency market
DOI10.1016/J.CNSNS.2021.105901zbMATH Open1472.62147OpenAlexW3167433129MaRDI QIDQ2045933FDOQ2045933
Authors: Lukasz Pietrych, Julio E. Sandubete, Lorenzo Escot 
Publication date: 16 August 2021
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.105901
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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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Cited In (6)
- Dynamic characteristic of Bitcoin cryptocurrency in the reconstruction scheme
- Fractional gray Lotka-Volterra models with application to cryptocurrencies adoption
- High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets
- Grey Lotka-Volterra models with application to cryptocurrencies adoption
- Asset price-GDP cross feedback. The role of dividend policies in a dynamic setting
- Disentangling the nonlinearity effect in cryptocurrency markets during the Covid-19 pandemic: evidence from a regime-switching approach
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