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Chaotic Behavior in Exchange Rate

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  • Melike E. Bildirici
  • Bahri Sonustun

Abstract

In this paper, we aim to analyze the chaotic structure of the daily Euro/USD parity. The examined data covers the period of 01/01/2004 and 03/04/2018. In this context firstly, to determine chaotic behavior of daily Euro/USD rates, the BDS test was used. And following, the chaotic behavior was examined by Largest Lyapunov Exponents (LLE) and Henon Map methods. The results proved the existence of chaotic structure in the data.

Suggested Citation

  • Melike E. Bildirici & Bahri Sonustun, 2019. "Chaotic Behavior in Exchange Rate," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(1), pages 17-22, January.
    • Handle: RePEc:jfr:ijfr11:v:10:y:2019:i:1:p:17-22
    DOI: 10.5430/ijfr.v10n1p17
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    References listed on IDEAS

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