Complex dynamical behaviors of daily data series in stock exchange

DOI10.1016/j.physleta.2004.10.053zbMath1123.91359OpenAlexW2168791574MaRDI QIDQ2463141

Jinhu Lü, Hongchun Wang, Guan-Rong 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

spectral analysischaotic time seriesLyapunov exponentcorrelation dimensionstock exchange

Mathematics Subject Classification ID

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

Related Items (6)

Estimating the largest Lyapunov exponent and noise level from chaotic time series ⋮ Dynamics of cluster structure in financial correlation matrix ⋮ Applying correlation dimension to the analysis of the evolution of network structure ⋮ Stochastic resonance in a fractional oscillator driven by multiplicative quadratic noise ⋮ INFLUENCE OF SAMPLING LENGTH AND SAMPLING INTERVAL ON CALCULATING THE FRACTAL DIMENSION OF CHAOTIC ATTRACTORS ⋮ LYAPUNOV-EXPONENT SPECTRUM FROM NOISY TIME SERIES

Cites Work

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• Determining Lyapunov exponents from a time series
• Measuring the strangeness of strange attractors
• Chaos control. Theory and applications
• On complex behavior and exchange rate dynamics
• Nonlinear dynamics delay times, and embedding windows
• A practical method for calculating largest Lyapunov exponents from small data sets

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