Journals International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
Name
International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
Subjects
Μonlinear dynamical systems
Τime-series analysis
Τime-series analysis
ISSN
1793-6551
Description
Using concepts from the theory of chaos and nonlinear dynamical systems, a time-series analysis is performed on four major currencies against the Greek Drachma. The R/S analysis provided evidence for fractality due to noisy chaos in only two of the data series, while the BDS test showed that all four systems exhibit nonlinearity. Correlation dimension and related tests, as well as Lyapunov exponents, gave consistent results, which did not rule out the possibility of deterministic chaos for the two possibly fractal series, rejecting though the occurrence of a simple low-dimensional attractor, while the other two series seemed to have followed a behavior close to that of a random signal. SVD analysis, used to filter away noise, strongly supported the above findings and provided reliable evidence for the existence of an underlying system with a limited number of degrees-of-freedom only for those series found to exhibit fractality, while it revealed a noise domination over the remaining two. These results were further confirmed through a forecasting attempt using artificial neural networks.
Impact Factor (2 years)
2.145
Publisher
World Scientific
Journal type
Hybrid Journal