DISTINGUISHING BETWEEN CHAOTIC AND STOCHASTIC SYSTEMS IN FINANCIAL TIME SERIES-Reference-Cited by-同舟云学术

DISTINGUISHING BETWEEN CHAOTIC AND STOCHASTIC SYSTEMS IN FINANCIAL TIME SERIES

Published:2002-01 Issue:01 Volume:13 Page:31-39
ISSN:0129-1831
Container-title:International Journal of Modern Physics C
language:en
Short-container-title:Int. J. Mod. Phys. C

Author:

MENNA MASSIMILIANO¹,ROTUNDO GIULIA¹,TIROZZI BRUNELLO²

Affiliation:

1. Department of Economics, Financial and Insurance Decisions, University of Rome "La Sapienza", via del Castro Laurenziano, 9 Rome, 00161, Italy

2. Department of Physics, University of Rome "La Sapienza", piazzale A.Moro, 5, Rome, 00185, Italy

Abstract

In last years several mathematical methods were successfully used for financial time series modeling. The main problem is to check whether irregularities of data are generated by a stochastic process or they are due to some deterministic chaos and to the presence of low-dimensional strange attractor. We focus on a test based on the correlation dimension. In particular we examine the time series of the daily closure prices of the Italian car industry "FIAT" shares.

Publisher

World Scientific Pub Co Pte Lt

Subject

Computational Theory and Mathematics,Computer Science Applications,General Physics and Astronomy,Mathematical Physics,Statistical and Nonlinear Physics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0129183102002936

Reference13 articles.

1. Measuring the strangeness of strange attractors

2. Finite correlation dimension for stochastic systems with power-law spectra

3. Long-Term Memory in Stock Market Prices

4. Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate

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