Please use this identifier to cite or link to this item: http://openarchive.nure.ua/handle/document/2023
Title: Investigation of Time Series of Original Values of Currency Rates Measured on Small Time Frames on FOREX Using Methods of Chaos Theory
Authors: Dabi-Prash, O.
Kirichenko, L.
Keywords: small (short) time frames
predictability of financial time series
memory in financial
Chaos theory
FOREX
Issue Date: 2009
Publisher: ХНУРЭ
Citation: Dabi-Prashad, O. Investigation of Time Series of Original Values of Currency Rates Measured on Small Time Frames on FOREX Using Methods of Chaos Theory / O. Dabi-Prash, L. Kirichenko // Радиоэлектроника и информатика : науч.-техн. журн. – Х. : Изд-во ХНУРЭ, 2009. – Вып. 4. – С. 18-24.
Abstract: Lately, the linear paradigm with its idea of normal distribution of profits has been replaced with the nonlinear approach and Chaos Theory which gives the explanation of the complex behavior of financial markets. It has been discovered that time series of profits measured on long time frames on currency and stock markets (time series of monthly prices etc.) are chaotic. This paper is concentrated on investigation of time series of original values of currency rates measured on short time frames on FOREX (hourly, 4-hourly, daily prices) using methods of Chaos Theory (Time-delay reconstruction method, Grassberger-Procaccia method, estimation of the Lyapunov exponent) in order to define if such time series are chaotic as well.
URI: http://openarchive.nure.ua/handle/document/2023
Appears in Collections:Радиоэлектроника и информатика

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