Determinism in Financial Time Series

DOI10.2202/1558-3708.1134zbMath1080.91565OpenAlexW2255226673MaRDI QIDQ3368319

Michael Small, Chi Kong Tse

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1134

zbMATH Keywords

chaossurrogate datanonlinear dynamicscorrelation dimension

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

Algorithms for generating surrogate data for sparsely quantized time series ⋮ Statistical moments of Gaussian kernel correlation sum and weighted least square estimator of correlation dimension and noise level ⋮ Unraveling chaotic attractors by complex networks and measurements of stock market complexity ⋮ Complex economic dynamics: Chaotic saddle, crisis and intermittency

Cites Work

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• Dangers of geometric filtering
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• The futility of utility: how market dynamics marginalize Adam Smith
• On selecting models for nonlinear time series
• Constrained-realization Monte-Carlo method for hypothesis testing
• Chaos and nonlinear forecastability in economics and finance

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