INVESTIGATING CHAOTIC BEHAVIOR IN ECONOMIC SERIES: THE DELAY TIME IN THE GRASSBERGER–PROCACCIA ALGORITHM

Teresa Aparicio, Eduardo Pozo and Dulce Saura
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Teresa Aparicio: Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain
Eduardo Pozo: Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain
Dulce Saura: Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain

International Journal of Theoretical and Applied Finance (IJTAF), 1999, vol. 02, issue 04, 357-380

Abstract: In this paper we try to bring forward evidence on the practical application of the Grassberger–Procaccia algorithm, in particular on the determination of the "delay time" parameter. For this purpose, we analyze the results obtained from applying the main methods proposed to calculate this delay time for series simulated from well-known chaotic systems. As the most relevant result we conclude that, in general, all the methods display inadequate behavior, except for that based on the previous filtering of the series according to singular value decomposition. In a second stage we apply the same study to three financial series, with the results appearing to confirm the advantage of this method.

Keywords: Deterministic chaos; Delay time; Correlation dimension; Embedding dimension; Grassberger–Procaccia algorithm (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1142/S0219024999000194

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