Chaotic analysis of the foreign exchange rates

DOI10.1016/j.amc.2006.06.106zbMath1120.91323MaRDI QIDQ870183

Pritha Das, Atin 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

zbMATH Keywords

chaos; nonlinearity; Lyapunov exponent; surrogate; foreign exchange rate

Mathematics Subject Classification ID

91B64: Macroeconomic theory (monetary models, models of taxation)

91B62: Economic growth models

37M10: Time series analysis of dynamical systems

Related Items

Applications of Methods and Algorithms of Nonlinear Dynamics in Economics and Finance, HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS, Discovery of time-inconsecutive co-movement patterns of foreign currencies using an evolutionary biclustering method, A new method to control chaos in an economic system, Local functional coefficient autoregressive model for multistep prediction of chaotic time series, The chaotic attractor analysis of DJIA based on manifold embedding and Laplacian eigenmaps, Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system, Wavelet shrinkage of a noisy dynamical system with non-linear noise impact, Looking for systematic approach to select chaos tests, High level chaos in the exchange and index markets

Uses Software

• Matlab

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?
• Does composite index of NYSE represents chaos in the long time scale?
• Using Surrogate Data Analysis for Unmasking Chaotic Communication Systems
• Chaos and nonlinear forecastability in economics and finance