DocumentCode
447268
Title
On testing for nonlinear dependence and chaos in financial time series data
Author
Cecen, Aydin ; Ugur, Ahmet
Author_Institution
Dept. of Econ., Central Michigan Univ., Mt. Pleasant, MI, USA
Volume
1
fYear
2005
fDate
10-12 Oct. 2005
Firstpage
203
Abstract
The paper is aimed at highlighting some of the pitfalls of empirical analysis in complex dynamics. Two examples of high frequency financial time series data analysis are provided in order to investigate the characteristics of the data generating processes involved and to illustrate the difficulties encountered in numerical analyses.
Keywords
chaos; financial data processing; nonlinear dynamical systems; BDSL test; Lyapunov exponents; chaos; correlation dimension; financial time series data analysis; nonlinear dependence; numerical analyses; self similarity; Chaos; Computer science; Data analysis; Difference equations; Displays; Explosives; Fractals; Frequency; Testing; Time series analysis; BDSL test; Lyapunov exponents; chaos; correlation dimension; self similarity;
fLanguage
English
Publisher
ieee
Conference_Titel
Systems, Man and Cybernetics, 2005 IEEE International Conference on
Print_ISBN
0-7803-9298-1
Type
conf
DOI
10.1109/ICSMC.2005.1571146
Filename
1571146
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