Evidence for deterministic nonlinear dynamics in financial time series data

M. Small, Chi Kong Tse

Research output: Chapter in book / Conference proceedingConference article published in proceeding or bookAcademic researchpeer-review

2 Citations (Scopus)

Abstract

Intra-day measurements of three time series (DJIA, gold fixings and USD-JPY exchange rates) are examined for evidence of deterministic nonlinear dynamics. Standard linear surrogate techniques and estimation of dynamic invariants demonstrate that linear noise models are insufficient to explain dynamic variability in intra-day returns. Therefore, the data may not be modeled as a monotonic nonlinear transformation of linearly filtered noise. Furthermore, a new nonlinear surrogate technique is employed to demonstrate that conditional heteroskedastic models are also insufficient to model this data. We conclude that the most likely model of the data is a nonlinear dynamical system driven by high dimensional dynamics (noise).
Original languageEnglish
Title of host publication2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003 - Proceedings
PublisherIEEE
Pages339-346
Number of pages8
Volume2003-January
ISBN (Electronic)0780376544
DOIs
Publication statusPublished - 1 Jan 2003
Event2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003 - Hong Kong Convention and Exhibition Centre, Hong Kong, Hong Kong
Duration: 20 Mar 200323 Mar 2003

Conference

Conference2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003
CountryHong Kong
CityHong Kong
Period20/03/0323/03/03

Keywords

  • Chaos
  • Contamination
  • Data analysis
  • Exchange rates
  • Extraterrestrial measurements
  • Noise measurement
  • Nonlinear dynamical systems
  • Pollution measurement
  • Testing
  • Time measurement

ASJC Scopus subject areas

  • Computer Science Applications
  • Artificial Intelligence
  • Software
  • Applied Mathematics
  • Finance

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