Abstract
We show that standard financial indicators may not be adequately described with linear stochastic methods. The data are consistent with what one would observe when the underlying system exhibits low dimensional deterministic nonlinear dynamics, albeit in addition to substantial high dimensional dynamics. Furthermore, nonlinear modeling algorithms at our disposal provide evidence of deterministic nonlinearity, but no evidence of predictability.
| Original language | English |
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| Title of host publication | Proceedings of International Symposium on Nonlinear Theory and Its Applications (NOLTA'2002) |
| Pages | 119-122 |
| Publication status | Published - Oct 2002 |
| Externally published | Yes |
| Event | 2002 International Symposium on Nonlinear Theory and its Applications (NOLTA’2002) - Xi'an International Conference Centre, Xi'an, China Duration: 7 Oct 2002 → 11 Oct 2002 https://www.ieice.org/nolta/symposium/archive/2002/01.html |
Conference
| Conference | 2002 International Symposium on Nonlinear Theory and its Applications (NOLTA’2002) |
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| Country/Territory | China |
| City | Xi'an |
| Period | 7/10/02 → 11/10/02 |
| Internet address |