INVESTIGATING CHAOTIC BEHAVIOR IN ECONOMIC SERIES: THE DELAY TIME IN THE GRASSBERGER–PROCACCIA ALGORITHM

DOI10.1142/S0219024999000194zbMath1153.91779OpenAlexW2019555517MaRDI QIDQ3523534

Teresa Aparicio, Dulce Saura, Eduardo F. Pozo

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024999000194

zbMATH Keywords

deterministic chaoscorrelation dimensiondelay timeembedding dimensionGrassberger--Procaccia algorithm

Mathematics Subject Classification ID

Economic time series analysis (91B84) Dynamical systems in optimization and economics (37N40)

Related Items (4)

Measuring the Complexity of Currency Markets by Fractal Dimension Analysis ⋮ A discrete mathematical model for chaotic dynamics in economics: Kaldor's model on business cycle ⋮ PREDICTION AND VOLATILITY OF BLACK MARKET CURRENCIES: EVIDENCE FROM RENMINBI AND RIAL EXCHANGE RATES ⋮ A generalized BDS statistic

Cites Work

• Deterministic chaos and fractal attractors as tools for nonparametric dynamical econometric inference: With an application to the Divisia monetary aggregates
• Chaotic behaviour in exchange-rate series. First results for the Peseta- U.S. Dollar case
• Independent coordinates for strange attractors from mutual information

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