Nonlinear Analysis of Financial Time Series

Sorin Vlad () and Mariana Vlad ()
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Sorin Vlad: “Ștefan cel Mare†University of Suceava, Faculty of Administration and Business, Romania
Mariana Vlad: “Ștefan cel Mare†University of Suceava, Faculty of Administration and Business, Romania

Ovidius University Annals, Economic Sciences Series, 2022, vol. XXII, issue 2, 478-483

Abstract: One of the axioms of the modern science states that, if one can identify an exact mathematical description of a physical system, then a very detailed understanding of the system’s properties is possible. A very accurate prediction of its future behavior would be also possible. These assertions proved to be true only for particular cases and false for nonlinear systems. The vast majority of natural phenomenon has a nonlinear behavior, completely different from the idealized linear dynamics. It’s very clear that, an adaptation of the methods used for linear systems analysis is not possible and hence the need for a new mathematical apparatus. The paper aims at explaining these concepts and to analyze the behavior of two time series, one corresponding to the currency exchange rate (Leu - Euro) and the other one to the Cambridge Bitcoin Electricity Consumption Index (CBECI).

Keywords: nonlinear analysis; chaos; neural networks; ARIMA (search for similar items in EconPapers)
JEL-codes: C02 C40 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xxii:y:2022:i:2:p:478-483

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