{"title":"五维欧几里得空间中历史价格和波动的混沌","authors":"P.R.L. Alves","doi":"10.1016/j.csfx.2019.100002","DOIUrl":null,"url":null,"abstract":"<div><p>From the Diagram Accuracy-Deviation and the new quantifier of chaos, this paper presents time series analysis for historical prices, volatilities and returns. The study cases are financial price series of United States Brent Oil (BNO), Wipro Limited (WIT), Nasdaq, Inc. (NDAQ) and SPDR S&P 500 ETF (SPY). Detection of chaos and randomness cover the period from November 2010 to November 2018. This work introduces the chaoticity in the Lorenz’s sense, a new measure for comparison between time series. The set of results enlights the underlying dynamics of the time evolution observed in economic indexes nowadays.</p></div>","PeriodicalId":37147,"journal":{"name":"Chaos, Solitons and Fractals: X","volume":"1 ","pages":"Article 100002"},"PeriodicalIF":0.0000,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.csfx.2019.100002","citationCount":"9","resultStr":"{\"title\":\"Chaos in historical prices and volatilities with five-dimensional euclidean spaces\",\"authors\":\"P.R.L. Alves\",\"doi\":\"10.1016/j.csfx.2019.100002\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>From the Diagram Accuracy-Deviation and the new quantifier of chaos, this paper presents time series analysis for historical prices, volatilities and returns. The study cases are financial price series of United States Brent Oil (BNO), Wipro Limited (WIT), Nasdaq, Inc. (NDAQ) and SPDR S&P 500 ETF (SPY). Detection of chaos and randomness cover the period from November 2010 to November 2018. This work introduces the chaoticity in the Lorenz’s sense, a new measure for comparison between time series. The set of results enlights the underlying dynamics of the time evolution observed in economic indexes nowadays.</p></div>\",\"PeriodicalId\":37147,\"journal\":{\"name\":\"Chaos, Solitons and Fractals: X\",\"volume\":\"1 \",\"pages\":\"Article 100002\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.csfx.2019.100002\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Chaos, Solitons and Fractals: X\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2590054419300016\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Chaos, Solitons and Fractals: X","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2590054419300016","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"Mathematics","Score":null,"Total":0}
Chaos in historical prices and volatilities with five-dimensional euclidean spaces
From the Diagram Accuracy-Deviation and the new quantifier of chaos, this paper presents time series analysis for historical prices, volatilities and returns. The study cases are financial price series of United States Brent Oil (BNO), Wipro Limited (WIT), Nasdaq, Inc. (NDAQ) and SPDR S&P 500 ETF (SPY). Detection of chaos and randomness cover the period from November 2010 to November 2018. This work introduces the chaoticity in the Lorenz’s sense, a new measure for comparison between time series. The set of results enlights the underlying dynamics of the time evolution observed in economic indexes nowadays.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
