DISTINGUISHING BETWEEN CHAOTIC AND STOCHASTIC SYSTEMS IN FINANCIAL TIME SERIES

Massimiliano Menna, Giulia Rotundo () and Brunello Tirozzi ()
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Massimiliano Menna: Department of Economics, Financial and Insurance Decisions, University of Rome "La Sapienza", via del Castro Laurenziano, 9 Rome, 00161, Italy
Giulia Rotundo: Department of Economics, Financial and Insurance Decisions, University of Rome "La Sapienza", via del Castro Laurenziano, 9 Rome, 00161, Italy
Brunello Tirozzi: Department of Physics, University of Rome "La Sapienza", piazzale A.Moro, 5, Rome, 00185, Italy

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 01, 31-39

Abstract: In last years several mathematical methods were successfully used for financial time series modeling. The main problem is to check whether irregularities of data are generated by a stochastic process or they are due to some deterministic chaos and to the presence of low-dimensional strange attractor. We focus on a test based on the correlation dimension. In particular we examine the time series of the daily closure prices of the Italian car industry "FIAT" shares.

Keywords: Financial; time series; chaotic; stochastic (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0129183102002936

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