Investigation of Time Series of Original Values of Currency Rates Measured on Small Time Frames on FOREX Using Methods of Chaos Theory
Електронного архіву Харківського національного університету радіоелектроніки (Open Access Repository of KHNURE)
Переглянути архів Інформація| Поле | Співвідношення | |
| Creator |
Dabi-Prash, O.
Kirichenko, L. |
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| Date |
2014-11-06T08:58:47Z
2014-11-06T08:58:47Z 2009 |
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| Identifier |
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.
http://hdl.handle.net/123456789/1453 |
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| Description |
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. |
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| Language |
en
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| Publisher |
ХНУРЭ
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| Subject |
FOREX
Chaos theory memory in financial predictability of financial time series small (short) time frames |
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| Title |
Investigation of Time Series of Original Values of Currency Rates Measured on Small Time Frames on FOREX Using Methods of Chaos Theory
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| Type |
Article
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