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Testing Chaos and Fractal Properties in Economic Time Series
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1999 International Mathematica Symposium
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Search for empirical evidence of chaos and testing fractal and other statistical properties in the framework of time series analysis are carried on as a preparatory step in order to apply these concepts to data proper of Financial Markets and deal with the puzzling failure of traditional economic theories. Concepts like correlation dimension and Lyapunov exponents are discussed and simple Mathematica programs are given for their evaluation. Before their application to real economic data, a test on a well known nonlinear dynamical system, through the correspondent reconstructed phase space and time series, is carried out.
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fractal, chaos, time series, finacial markets, economic theories, correlation dimension, Lyapunov exponents, nonlinear dynamical system, reconstructed phase space
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http://www.internationalmathematicasymposium.org/IMS99/ims99papers/ims99papers.html
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