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.
|Titolo:||Distinguishing between chaotic and stochastic systems in financial time series|
ROTUNDO, Giulia [Investigation]
TIROZZI, Benedetto [Supervision]
|Data di pubblicazione:||2002|
|Citazione:||Distinguishing between chaotic and stochastic systems in financial time series / Massimiliano, Menna; Rotundo, Giulia; Tirozzi, Benedetto. - In: INTERNATIONAL JOURNAL OF MODERN PHYSICS C. - ISSN 0129-1831. - 13:1(2002), pp. 31-39.|
|Appartiene alla tipologia:||01a Articolo in rivista|