منابع مشابه
Determinism in Financial Time Series
The attractive possibility that financial indices may be chaotic has been the subject of much study. In this paper we address two specific questions: “Masked by stochasticity, do financial data exhibit deterministic nonlinearity?”, and “If so, so what?”. We examine daily returns from three financial indicators: the Dow Jones Industrial Average, the London gold fixings, and the USD-JPY exchange ...
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This research is related to the usefulness of different machine learning methods in forecasting time series on financial markets. The main issue in this field is that economic managers and scientific society are still longing for more accurate forecasting algorithms. Fulfilling this request leads to an increase in forecasting quality and, therefore, more profitability and efficiency. In this pa...
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Statistical differentiability of the measure along the reconstructed trajectory is a good candidate to quantify determinism in time series. The procedure is based upon a formula that explicitly shows the sensitivity of the measure to stochasticity. Numerical results for partially surrogated time series and series derived from several stochastic models, illustrate the usefulness of the method pr...
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The nonlinearly scaled distributions of the strengths of the orthogonal modes in the data of a time series are compared with that derived from its surrogate counterpart to assess its chaoticity or the stochastic nature. Chaoticity manifests in the relatively decreasing strengths of the weaker modes with increasing dimension of the orthogonal spaces mapping the process. The distributions of the ...
متن کاملTesting for intracycle determinism in pseudoperiodic time series.
A determinism test is proposed based on the well-known method of the surrogate data. Assuming predictability to be a signature of determinism, the proposed method checks for intracycle (e.g., short-term) determinism in the pseudoperiodic time series for which standard methods of surrogate analysis do not apply. The approach presented is composed of two steps. First, the data are preprocessed to...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 2003
ISSN: 1558-3708
DOI: 10.2202/1558-3708.1134