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.authorDabi-Prash, O.
dc.contributor.authorKirichenko, L.
dc.date.accessioned2016-09-02T12:04:45Z
dc.date.available2016-09-02T12:04:45Z
dc.date.issued2009
dc.description.abstractLately, 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.citationDabi-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.urihttp://openarchive.nure.ua/handle/document/2023
dc.language.isoenuk_UA
dc.publisherХНУРЭuk_UA
dc.subjectsmall (short) time framesuk_UA
dc.subjectpredictability of financial time seriesuk_UA
dc.subjectmemory in financialuk_UA
dc.subjectChaos theoryuk_UA
dc.subjectFOREXuk_UA
dc.titleInvestigation of Time Series of Original Values of Currency Rates Measured on Small Time Frames on FOREX Using Methods of Chaos Theoryuk_UA
dc.typeArticleuk_UA
dspace.entity.typePublication

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