Solving the chaos model-data paradox in the cryptocurrency market

DOI10.1016/j.cnsns.2021.105901zbMath1472.62147OpenAlexW3167433129MaRDI QIDQ2045933

Lorenzo Escot, Lukasz Pietrych, Julio E. Sandubete

Publication date: 16 August 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.105901

zbMATH Keywords

Lyapunov exponentsnonlinearity testschaos model-data paradoxcryptocurrency time seriesdirect and Jacobian indirect methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Foundations and philosophical topics in statistics (62A01) Economic time series analysis (91B84) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15)

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Uses Software

• TISEAN
• DChaos

Cites Work

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