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Essays on Exchange Rates: Deterministic Chaos and Technical Analysis

Author

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  • Bask, Mikael

    () (Department of Economics, Umeå University)

Abstract

This thesis consists of four papers. The first three deal with deterministic chaos in exchange rate series whereas the fourth deals with technical analysis in the foreign exchange market. Paper [i] (

Suggested Citation

  • Bask, Mikael, 1998. "Essays on Exchange Rates: Deterministic Chaos and Technical Analysis," Umeå Economic Studies 465, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0465
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    File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=127181&languageId=3&assetKey=ues465
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    Cited by:

    1. J. Barkley Rosser, 1999. "On the Complexities of Complex Economic Dynamics," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 169-192, Fall.
    2. Lundström, Christian, 2017. "On the Returns of Trend-Following Trading Strategies," Umeå Economic Studies 948, Umeå University, Department of Economics.
    3. Quoreshi, Shahiduzzaman, 2006. "Time Series Modelling Of High Frequency Stock Transaction Data," Umeå Economic Studies 675, Umeå University, Department of Economics.

    More about this item

    Keywords

    Chartists; Correlation dimension; Delay reconstruction map; Deterministic chaos; Embeddings; Endogenous speculative bubbles; Exchange rates; Fundamentalists; Lyapunov exponents; Momentum lines; Moving averages; Moving blocks bootstrap; Phase space reconstruction; Technical analysis;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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