Chaotic signals inside some tick-by-tick financial time series

DOI10.1016/j.chaos.2020.109852zbMath1489.91196OpenAlexW3026216250MaRDI QIDQ2120710

Lorenzo Escot, Julio E. Sandubete

Publication date: 1 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.109852

zbMATH Keywords

chaos paradoxexpected Lyapunov exponentlagged returnsnonuniform embeddingtick-by-tick time series

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items

Analysis and finite-time synchronization of a novel double-wing chaotic system with transient chaos ⋮ Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?

Uses Software

• TISEAN
• DChaos

Cites Work

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