Beyond the Third Dimension: Searching for the Price Equation

Antonella Sabatini ()
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Antonella Sabatini: Finbest Spa, CEO, Engineering

A chapter in Practical Fruits of Econophysics, 2006, pp 152-157 from Springer

Abstract: Abstract The purpose of this study is to examine the deterministic structure of financial time series of prices in presence of chaos and a low-dimensional attractor. The methodology used consists of transforming the observed system, typically exhibiting higher dimensional characteristics, into its corresponding best two dimensional system, via attractor or phase space reconstruction method, with subsequent intersection of the reconstructed attractor with the best two-dimensional (2D) hyperplane. The 2D system resulting from this slicing operation can be used for financial market analysis applications, by means of the determination of the price equation.

Keywords: Non-Linear Dynamics; Attractor Reconstruction; Embedding Dimension; Dimension Reduction; Price Equation (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_27

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DOI: 10.1007/4-431-28915-1_27

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