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

Aydin Cecen, Ahmet Ugur

Research output: Contribution to journalConference articlepeer-review

3 Scopus citations

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.

Original languageEnglish
Pages (from-to)203-208
Number of pages6
JournalConference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
Volume1
StatePublished - 2005
EventIEEE Systems, Man and Cybernetics Society, Proceedings - 2005 International Conference on Systems, Man and Cybernetics - Waikoloa, HI, United States
Duration: Oct 10 2005Oct 12 2005

Keywords

  • BDSL test
  • Chaos
  • Correlation dimension
  • Lyapunov exponents
  • Self similarity

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