High level chaos in the exchange and index markets

DOI10.1016/j.chaos.2013.06.004zbMath1341.91102OpenAlexW2005631376MaRDI QIDQ2630296

Ahmed BenSaïda, Houda Litimi

Publication date: 27 July 2016

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2013.06.004

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Economic time series analysis (91B84) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Time series analysis of dynamical systems (37M10) Economic dynamics (91B55)

Related Items (10)

Chaotic signals inside some tick-by-tick financial time series ⋮ Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system ⋮ Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis ⋮ Recurrence quantification analysis on a Kaldorian business cycle model ⋮ High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets ⋮ Chaos measure dynamics in a multifactor model for financial market predictions ⋮ Quantifying Interactions in Nonlinear Feedback Dynamics: A Time Series Analysis ⋮ Learning dynamical systems in noise using convolutional neural networks ⋮ Chaos, randomness and multi-fractality in bitcoin market ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?

Uses Software

• MersenneTwister

Cites Work

• Unnamed Item
• Unnamed Item
• Random walk or chaos: a formal test on the Lyapunov exponent
• Chaotic analysis of the foreign exchange rates
• Identification and prediction of low dimensional dynamics
• Determining Lyapunov exponents from a time series
• Chaos and nonlinear dynamics in financial and nonfinancial time series: Evidence from Finland
• On complex behavior and exchange rate dynamics
• Multilayer feedforward networks are universal approximators
• A linearization based non-iterative approach to measure the Gaussian noise level for chaotic time series
• Looking for systematic approach to select chaos tests
• Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
• Statistical Tests for Lyapunov Exponents of Deterministic Systems
• LYAPUNOV EXPONENTS IN CHAOTIC SYSTEMS: THEIR IMPORTANCE AND THEIR EVALUATION USING OBSERVED DATA
• Mersenne twister
• A test for independence based on the correlation dimension
• Ergodic theory of chaos and strange attractors

This page was built for publication: High level chaos in the exchange and index markets