Paper title:

Investigation of chaotic behavior in Euro-Leu exchange rate

Published in: Issue 2, (Vol. 4) / 2010
Publishing date: 2010-04-30
Pages: 67-71
Author(s): VLAD Sorin
Abstract. Nonlinear time series analysis developed a set of test aiming to discover a possible occurrence of chaos in time series under study. The main benefit of detecting chaos is that the time series is short term predictable. The prediction accuracy decreases in time. A strong evidence of chaotic dynamics is the existence of a positive Lyapunov exponent (i.e. sensitivity to initial conditions). Usually this is not the ultimate test that has to be performed in order to decide that the evolution in time of the time series is chaotic. Chaotic dynamics is associated with a chaotic attractor. In order to reveal the structure of the attractor, the Takens reconstruction theorem has to be applied. The paper aims at presenting a methodology to be followed to detect (or not) chaos presence in the Euro-Leu exchange rate time series.
Keywords: Chaos Theory, Nonlinear Time Series Analysis, Chaos Identification, Chaotic Dynamics
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