Complex dynamical behaviors of daily data series in stock exchange

DOI10.1016/J.PHYSLETA.2004.10.053MaRDI QIDQ2463141zbMATH OpenOpenAlexFDO

Authors Hongchun Wang, Jin-Hu Lü, Guanrong Chen

Publication date 5 December 2007

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2004.10.053

zbMATH Keywords

chaotic time seriescorrelation dimensionLyapunov exponentspectral analysisstock exchange

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• A practical method for calculating largest Lyapunov exponents from small data sets
• Chaos control. Theory and applications
• Determining Lyapunov exponents from a time series
• scientific article; zbMATH DE number 1219618 (Why is no real title available?)
• Measuring the strangeness of strange attractors
• Nonlinear dynamics delay times, and embedding windows
• On complex behavior and exchange rate dynamics

Cited in

(6)

• Dynamics of cluster structure in financial correlation matrix
• Applying correlation dimension to the analysis of the evolution of network structure
• Influence of sampling length and sampling interval on calculating the fractal dimension of chaotic attractors
• Lyapunov-exponent spectrum from noisy time series
• Estimating the largest Lyapunov exponent and noise level from chaotic time series
• Stochastic resonance in a fractional oscillator driven by multiplicative quadratic noise

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