Chaotic analysis of the foreign exchange rates

DOI10.1016/J.AMC.2006.06.106MaRDI QIDQ870183zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(14)

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

Describes a project that uses

Uses Software

• Matlab

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