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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)

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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
 
Creator Dabi-Prash, O.
Kirichenko, L.
 
Subject small (short) time frames
predictability of financial time series
memory in financial
Chaos theory
FOREX
 
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.
 
Date 2016-09-02T12:04:45Z
2016-09-02T12:04:45Z
2009
 
Type Article
 
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://openarchive.nure.ua/handle/document/2023
 
Language en
 
Publisher ХНУРЭ