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.
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. [10.1142/s0129183102002936]
Titolo: | Distinguishing between chaotic and stochastic systems in financial time series | |
Autori: | TIROZZI, Benedetto [Supervision] | |
Data di pubblicazione: | 2002 | |
Rivista: | ||
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. [10.1142/s0129183102002936] | |
Handle: | http://hdl.handle.net/11573/31010 | |
Appartiene alla tipologia: | 01a Articolo in rivista |
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