IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v02y1999i04ns0219024999000194.html
   My bibliography  Save this article

Investigating Chaotic Behavior In Economic Series: The Delay Time In The Grassberger–Procaccia Algorithm

Author

Listed:
  • TERESA APARICIO

    (Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain)

  • EDUARDO POZO

    (Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain)

  • DULCE SAURA

    (Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain)

Abstract

In this paper we try to bring forward evidence on the practical application of the Grassberger–Procaccia algorithm, in particular on the determination of the "delay time" parameter. For this purpose, we analyze the results obtained from applying the main methods proposed to calculate this delay time for series simulated from well-known chaotic systems. As the most relevant result we conclude that, in general, all the methods display inadequate behavior, except for that based on the previous filtering of the series according to singular value decomposition. In a second stage we apply the same study to three financial series, with the results appearing to confirm the advantage of this method.

Suggested Citation

  • Teresa Aparicio & Eduardo Pozo & Dulce Saura, 1999. "Investigating Chaotic Behavior In Economic Series: The Delay Time In The Grassberger–Procaccia Algorithm," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 357-380.
  • Handle: RePEc:wsi:ijtafx:v:02:y:1999:i:04:n:s0219024999000194
    DOI: 10.1142/S0219024999000194
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024999000194
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1142/S0219024999000194?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:02:y:1999:i:04:n:s0219024999000194. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.