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Testing chaotic dynamics via Lyapunov exponents.

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Publication:1963425
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DOI10.1016/S0167-2789(97)00306-0zbMath1070.37500OpenAlexW1986476743MaRDI QIDQ1963425

Ramazan Gençay, Mikael Bask

Publication date: 1 February 2000

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-2789(97)00306-0



Mathematics Subject Classification ID

Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Dynamical systems in optimization and economics (37N40)


Related Items (7)

Chaos measure dynamics in a multifactor model for financial market predictions ⋮ A positive Lyapunov exponent in Swedish exchange rates? ⋮ A strange double-deck butterfly chaotic attractor from a permanent magnet synchronous motor with smooth air gap: numerical analysis and experimental observation ⋮ On complex behavior and exchange rate dynamics ⋮ Partial chaos suppression in a fractional order macroeconomic model ⋮ The bootstrap and Lyapunov exponents in deterministic chaos ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?



Cites Work

  • A statistical framework for testing chaotic dynamics via Lyapunov exponents
  • Unnamed Item


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