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Beyond the Third Dimension: Searching for the Price Equation

In: Practical Fruits of Econophysics

Author

Listed:
  • Antonella Sabatini

    (Finbest Spa, CEO, Engineering)

Abstract

The purpose of this study is to examine the deterministic structure of financial time series of prices in presence of chaos and a low-dimensional attractor. The methodology used consists of transforming the observed system, typically exhibiting higher dimensional characteristics, into its corresponding best two dimensional system, via attractor or phase space reconstruction method, with subsequent intersection of the reconstructed attractor with the best two-dimensional (2D) hyperplane. The 2D system resulting from this slicing operation can be used for financial market analysis applications, by means of the determination of the price equation.

Suggested Citation

  • Antonella Sabatini, 2006. "Beyond the Third Dimension: Searching for the Price Equation," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 152-157, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_27
    DOI: 10.1007/4-431-28915-1_27
    as

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