Investigation of Time Series of Original Values of Currency Rates Measured on Small Time Frames on FOREX Using Methods of Chaos Theory

Dabi-Prash, O.; Kirichenko, L.

Публікація:
Investigation of Time Series of Original Values of Currency Rates Measured on Small Time Frames on FOREX Using Methods of Chaos Theory

dc.contributor.author	Dabi-Prash, O.
dc.contributor.author	Kirichenko, L.
dc.date.accessioned	2016-09-02T12:04:45Z
dc.date.available	2016-09-02T12:04:45Z
dc.date.issued	2009
dc.description.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.	uk_UA
dc.identifier.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.	uk_UA
dc.identifier.uri	http://openarchive.nure.ua/handle/document/2023
dc.language.iso	en	uk_UA
dc.publisher	ХНУРЭ	uk_UA
dc.subject	small (short) time frames	uk_UA
dc.subject	predictability of financial time series	uk_UA
dc.subject	memory in financial	uk_UA
dc.subject	Chaos theory	uk_UA
dc.subject	FOREX	uk_UA
dc.title	Investigation of Time Series of Original Values of Currency Rates Measured on Small Time Frames on FOREX Using Methods of Chaos Theory	uk_UA
dc.type	Article	uk_UA
dspace.entity.type	Publication