On testing for nonlinear dependence and chaos in financial time series data

被引：0
作者：
Cecen, A [1 ]
Ugur, A [1 ]
机构：
[1] Cent Michigan Univ, Dept Econ, Mt Pleasant, MI 48859 USA
来源：
INTERNATIONAL CONFERENCE ON SYSTEMS, MAN AND CYBERNETICS, VOL 1-4, PROCEEDINGS | 2005年
关键词：
BDSL test; chaos; correlation dimension; Lyapunov exponents; self similarity;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
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.
引用
收藏
页码：203 / 208
页数：6
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