Bibliographic Details
| Title: |
Distinguishing between Chaotic and Stochastic Systems in Financial Time Series. |
| Authors: |
Menna, Massimiliano, Rotundo, Giulia, Tirozzi, Brunello |
| Source: |
International Journal of Modern Physics C: Computational Physics & Physical Computation. Jan2002, Vol. 13 Issue 1, p31. 9p. |
| Subjects: |
Chaos theory, Stochastic systems, Time series analysis |
| Abstract: |
In last years several mathematical methods were successfully used for financial time series modeling. The main problem is to check whether irregularities of data are generated by a stochastic process or they are due to some deterministic chaos and to the presence of low-dimensional strange attractor. We focus on a test based on the correlation dimension. In particular we examine the time series of the daily closure prices of the Italian car industry "FIAT" shares. [ABSTRACT FROM AUTHOR] |
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| Database: |
Engineering Source |
