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On Determining the Dimension of Real-Time Stock-Price Data

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  • Mayfield, E Scott
  • Mizrach, Bruce

Abstract

The authors estimate the dimension of high-frequency stock-price data using the correlation integral of P. Grassberger and I. Procaccia. The data, even after filtering, appear to be of low dimension. To control for dependence in higher moments, the authors use a new technique known as the method of delays in their reconstruction. Delaying the data leads dimension estimates similar to random processes. They conclude that the data are either of low dimension with high entropy or nonlinear but of high dimension.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 10 (1992)
Issue (Month): 3 (July)
Pages: 367-74

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Handle: RePEc:bes:jnlbes:v:10:y:1992:i:3:p:367-74

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Cited by:
  1. Aparicio, Teresa & Pozo, Eduardo F. & Saura, Dulce, 2008. "Detecting determinism using recurrence quantification analysis: Three test procedures," Journal of Economic Behavior & Organization, Elsevier, vol. 65(3-4), pages 768-787, March.
  2. Leontitsis, Alexandros & Vorlow, Constantinos E., 2006. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 522-530.
  3. Rohnn Sanderson, 2011. "Compartmentalising Gold Prices," International Journal of Economic Sciences and Applied Research (IJESAR), Technological Educational Institute (TEI) of Kavala, Greece, vol. 4(2), pages 99-124, August.
  4. Adrangi, Bahram & Chatrath, Arjun & Dhanda, Kanwalroop Kathy & Raffiee, Kambiz, 2001. "Chaos in oil prices? Evidence from futures markets," Energy Economics, Elsevier, vol. 23(4), pages 405-425, July.
  5. M. Matilla-Garcia & P. Sanz & F. J. Vazquez, 2004. "Dimension estimation with the BDS-G statistic," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1219-1223.
  6. Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
  7. Barkoulas, John T. & Chakraborty, Atreya & Ouandlous, Arav, 2012. "A metric and topological analysis of determinism in the crude oil spot market," Energy Economics, Elsevier, vol. 34(2), pages 584-591.

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