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Titolo:
Observations of deterministic chaos in financial time series by recurrenceplots, can one control chaotic economy?
Autore:
Holyst, JA; Zebrowska, M; Urbanowicz, K;
Indirizzi:
Warsaw Univ Technol, Fac Phys, PL-00662 Warsaw, Poland Warsaw Univ Technol Warsaw Poland PL-00662 Phys, PL-00662 Warsaw, Poland Max Planck Inst Phys Complex Syst, D-01187 Dresden, Germany Max Planck Inst Phys Complex Syst Dresden Germany D-01187 esden, Germany
Titolo Testata:
EUROPEAN PHYSICAL JOURNAL B
fascicolo: 4, volume: 20, anno: 2001,
pagine: 531 - 535
SICI:
1434-6028(200104)20:4<531:OODCIF>2.0.ZU;2-E
Fonte:
ISI
Lingua:
ENG
Soggetto:
DELAYED FEEDBACK-CONTROL; QUANTIFICATION; SYSTEMS;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Physical, Chemical & Earth Sciences
Citazioni:
20
Recensione:
Indirizzi per estratti:
Indirizzo: Holyst, JA Warsaw Univ Technol, Fac Phys, Koszykowa 75, PL-00662 Warsaw, Poland Warsaw Univ Technol Koszykowa 75 Warsaw Poland PL-00662 Poland
Citazione:
J.A. Holyst et al., "Observations of deterministic chaos in financial time series by recurrenceplots, can one control chaotic economy?", EUR PHY J B, 20(4), 2001, pp. 531-535

Abstract

Several economical time series such as: exchange rates US$/British Pound, USA Treasure Bonds: rates and Warsaw Stock Index WIG have been investigatedusing the method of recurrence plots. The percentage of recurrence REC andtile percentage of determinism DET have been calculated for the original and for shuffled data. We have found that in some cases the values of REG and DET parameters; are about 20% lower for the surrogate data which indicates the presence of unstable periodical orbits in tile considered data. A similar result has been obtained fur the chaotic Lorenz model contaminated by noise. Our investigations suggest that real economical dynamics is a mixture of deterministic and stochastic chaos. We show how a simple chaotic economic model can he controlled by appropriate influence of time-delayed feedback.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 22/01/20 alle ore 06:49:29