Chaotic analysis of the foreign exchange rates

DOI10.1016/J.AMC.2006.06.106zbMATH Open1120.91323OpenAlexW2032507416MaRDI QIDQ870183FDOQ870183

Authors: Atin Das, Pritha Das 

Publication date: 12 March 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.06.106

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zbMATH Keywords

surrogatechaosLyapunov exponentnonlinearityforeign exchange rate

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Time series analysis of dynamical systems (37M10) Economic growth models (91B62)

Cites Work

• Testing for nonlinearity in time series: the method of surrogate data
• Determining Lyapunov exponents from a time series
• A positive Lyapunov exponent in Swedish exchange rates?
• Chaos and nonlinear forecastability in economics and finance
• Does composite index of NYSE represents chaos in the long time scale?
• Using Surrogate Data Analysis for Unmasking Chaotic Communication Systems

Cited In (14)

• Chaos in East European black market exchange rates
• Applications of methods and algorithms of nonlinear dynamics in economics and finance
• Local functional coefficient autoregressive model for multistep prediction of chaotic time series
• Hurst exponents and delampertized fractional Brownian motions
• Measuring the Complexity of Currency Markets by Fractal Dimension Analysis
• A new method to control chaos in an economic system
• Discovery of time-inconsecutive co-movement patterns of foreign currencies using an evolutionary biclustering method
• Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
• Multivariable nonlinear analysis of foreign exchange rates
• The chaotic attractor analysis of DJIA based on manifold embedding and Laplacian eigenmaps
• High level chaos in the exchange and index markets
• Chaotic signals inside some tick-by-tick financial time series
• Wavelet shrinkage of a noisy dynamical system with non-linear noise impact
• Looking for systematic approach to select chaos tests

Uses Software

• Matlab

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