Title :
On testing for nonlinear dependence and chaos in financial time series data
Author :
Cecen, Aydin ; Ugur, Ahmet
Author_Institution :
Dept. of Econ., Central Michigan Univ., Mt. Pleasant, MI, USA
Abstract :
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.
Keywords :
chaos; financial data processing; nonlinear dynamical systems; BDSL test; Lyapunov exponents; chaos; correlation dimension; financial time series data analysis; nonlinear dependence; numerical analyses; self similarity; Chaos; Computer science; Data analysis; Difference equations; Displays; Explosives; Fractals; Frequency; Testing; Time series analysis; BDSL test; Lyapunov exponents; chaos; correlation dimension; self similarity;
Conference_Titel :
Systems, Man and Cybernetics, 2005 IEEE International Conference on
Print_ISBN :
0-7803-9298-1
DOI :
10.1109/ICSMC.2005.1571146
