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Multiscale Lyapunov exponent for 2-microlocal functions

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  • Dhifaoui, Zouhaier
  • Kortas, Hedi
  • Ammou, Samir Ben

Abstract

The Lyapunov exponent is an important indicator of chaotic dynamics. Using wavelet analysis, we define a multiscale representation of this exponent which we demonstrate the scale-wise dependence for functions belonging to Cx0s,s′ spaces. An empirical study involving simulated processes and financial time series corroborates the theoretical findings.

Suggested Citation

  • Dhifaoui, Zouhaier & Kortas, Hedi & Ammou, Samir Ben, 2009. "Multiscale Lyapunov exponent for 2-microlocal functions," Chaos, Solitons & Fractals, Elsevier, vol. 42(5), pages 2675-2687.
    • Handle: RePEc:eee:chsofr:v:42:y:2009:i:5:p:2675-2687
    DOI: 10.1016/j.chaos.2009.03.174
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    References listed on IDEAS

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    1. Dechert, W D & Gencay, R, 1992. "Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 41-60, Suppl. De.
    2. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October.
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