Quantifying chaos in time series using correlation dimension : simulation and application to foreign exchange data

Keung, Chan Chi. (1996). Quantifying chaos in time series using correlation dimension : simulation and application to foreign exchange data Master's Thesis, School of Economics, The University of Queensland.

       
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Author Keung, Chan Chi.
Thesis Title Quantifying chaos in time series using correlation dimension : simulation and application to foreign exchange data
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 1996
Thesis type Master's Thesis
Total pages 105
Language eng
Subjects 1403 Econometrics
Formatted abstract
It is well known that distributions of many financial time series, in particular the daily returns of exchange rates, are skewed and are more peaked than the corresponding Gaussian distributions. The conventional explanation of the fact is that the daily returns are ARCH processes or some of their variants. This explanation presumes that exchange rate dynamics are stochastic. Nevertheless, the lesson from chaos theory is that a seemingly random time series can have a deterministic explanation. In this paper, the author employs the correlation dimension test to find deterministic structures in foreign exchange data. The test results support the conventional explanation by the fact that no deterministic structure can be found in foreign exchange data.

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
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Created: Wed, 13 Oct 2010, 13:57:24 EST by Ning Jing on behalf of The University of Queensland Library