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Deterministic flow in phase space of exchange rates: Evidence of chaos in filtered series of Turkish Lira–Dollar daily growth rates

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  • Çoban, Gürsan
  • Büyüklü, Ali H.

Abstract

This study aims to expose a possible dynamic structure and nonlinear relationship in exchange rates. Specifically, the analysis derives on the filtered version of USDTRY daily log returns, where TRY stands for the New Turkish Lira with respect to the US Dollar (USD) between August 2001 and February 2007. A carefully applied projective filtering methodology removed most of the noise contaminant. The computation of correlation dimension and Largest Lyapunov Exponent (LLE) supported by the surrogate data testing procedure showed that the nature of the governing dynamics of the filtered series has a significantly different behavior from a stochastic system. All computations support the evidence of deterministic chaos in the reconstructed phase space of the filtered USDTRY log return series.

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  • Çoban, Gürsan & Büyüklü, Ali H., 2009. "Deterministic flow in phase space of exchange rates: Evidence of chaos in filtered series of Turkish Lira–Dollar daily growth rates," Chaos, Solitons & Fractals, Elsevier, vol. 42(2), pages 1062-1067.
    • Handle: RePEc:eee:chsofr:v:42:y:2009:i:2:p:1062-1067
    DOI: 10.1016/j.chaos.2009.02.036
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    Cited by:

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    2. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Bayesian analysis of chaos: The joint return-volatility dynamical system," MPRA Paper 80632, University Library of Munich, Germany.
    3. Vogl, Markus, 2022. "Controversy in financial chaos research and nonlinear dynamics: A short literature review," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
    4. Lahmiri, Salim & Bekiros, Stelios, 2018. "Chaos, randomness and multi-fractality in Bitcoin market," Chaos, Solitons & Fractals, Elsevier, vol. 106(C), pages 28-34.
    5. Tapia, Carlos & Coulton, Jeff & Saydam, Serkan, 2020. "Using entropy to assess dynamic behaviour of long-term copper price," Resources Policy, Elsevier, vol. 66(C).
    6. Çoban, Gürsan & Büyüklü, Ali H. & Das, Atin, 2012. "A linearization based non-iterative approach to measure the gaussian noise level for chaotic time series," Chaos, Solitons & Fractals, Elsevier, vol. 45(3), pages 266-278.
    7. Lahmiri, Salim, 2017. "Investigating existence of chaos in short and long term dynamics of Moroccan exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 655-661.
    8. BenSaïda, Ahmed & Litimi, Houda, 2013. "High level chaos in the exchange and index markets," Chaos, Solitons & Fractals, Elsevier, vol. 54(C), pages 90-95.
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    10. Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.

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