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]
Distinguishing between chaotic and stochastic systems in financial time series
ROTUNDO, GiuliaInvestigation
;TIROZZI, BenedettoSupervision
2002
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.| File | Dimensione | Formato | |
|---|---|---|---|
|
Menna_distinguishing-between-chaotic_2002.pdf
solo gestori archivio
Tipologia:
Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
189.47 kB
Formato
Adobe PDF
|
189.47 kB | Adobe PDF | Contatta l'autore |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
