Methods of deterministic chaos in economic research

Article Sidebar


PDF (Język Polski)

Published:
Dec 17, 2000
Issue
No. 42 (2000)
Section
Artykuły
CitedBy/Share
Crossref
Scopus
Google Scholar
Europe PMC

Main Article Content

Arkadiusz Orłowski
Katedra Ekonometrii i Informatyki SGGW
https://orcid.org/0000-0002-6755-1830
Mariusz Bęben
Szkoła Nauk Ścisłych w Warszawie

DOI: https://doi.org/10.22630/EIOGZ.2000.42.74
Abstract
An introduction to nonlinear analysis of economical time series is given. Methods developed for investigations of chaotic dynamics of physical systems are applied to various indexes and exchange rates. An attempt to distinguish between well-developed and emerging markets is undertaken. Phase-space reconstruction as well as estimation of the Lyapunov exponent are performed using available economical data.

Article Details

How to Cite
Orłowski, A., & Bęben, M. (2000). Methods of deterministic chaos in economic research. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (42), 67–79. https://doi.org/10.22630/EIOGZ.2000.42.74
References

A.M. FRASER, H.L. SWINNEY, Independent coordinates for strange attractors from mutual information, Physical Review A, Vol. 33, str. 1134 (1986). (Crossref)

E.E. PETERS, Teoria chaosu a rynki kapitałowe, WIG-Press, Warszawa 1997.

H. KANTZ, A robust method to estimate the maximal Lyapunov exponent from a time series, Physics Letters A, Vol. 185, str. 77 (1994). (Crossref)

H. KANTZ, TH. SCHREIBER, Nonlinear Time Series Analysis, Cambridge University Press, Cambridge, 2000.

J. THEILER, S. EUBANK, A. LONGTIN, B. GALDRIKIAN, J.D. FARMER, Testing for nonlinearity in time series: The method of surrogate data, Physica D, Vol. 58, str. 77 (1992). (Crossref)

M.B. KENNEL, R. BROWN, H.D.I. ABANDEL, Determining embedding dimension for phase space reconstruction using a geometrical construction, Physical Review A, Vol. 45, str. 3403 (1992). (Crossref)

P. CHEN, Empirical and theoretical evidence of economic chaos, System Dynamics Review, Vol. 4, str. 81 (1988). (Crossref)

R. HEGGER, H. KANTZ, TH. SCHREIBER, Practical implementation of nonlinear time series methods: The TISEAN package, Chaos, Vol. 9, str. 413 (1999). (Crossref)

TH. SCHREIBER, Interdisciplinary application of nonlinear time series methods, Physics Reports, Vol. 308, str. 1 (1999). (Crossref)

Statistics

Downloads

Download data is not yet available.
Recommend Articles