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EnglishIn 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.
http://hdl.handle.net/11573/31010| Titolo: | Distinguishing between chaotic and stochastic systems in financial time series |
| Autori interni: | TIROZZI, Benedetto |
| Data di pubblicazione: | 2002 |
| Rivista: | INTERNATIONAL JOURNAL OF MODERN PHYSICS C |
| 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. |
| Handle: | http://hdl.handle.net/11573/31010 |
| Appare nelle tipologie: | 01.a Pubblicazione su Rivista |
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