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Nonlinear Analysis of Financial Time Series

Author

Listed:
  • Sorin Vlad

    (“Ștefan cel Mare†University of Suceava, Faculty of Administration and Business, Romania)

  • Mariana Vlad

    (“Ștefan cel Mare†University of Suceava, Faculty of Administration and Business, Romania)

Abstract

One of the axioms of the modern science states that, if one can identify an exact mathematical description of a physical system, then a very detailed understanding of the system’s properties is possible. A very accurate prediction of its future behavior would be also possible. These assertions proved to be true only for particular cases and false for nonlinear systems. The vast majority of natural phenomenon has a nonlinear behavior, completely different from the idealized linear dynamics. It’s very clear that, an adaptation of the methods used for linear systems analysis is not possible and hence the need for a new mathematical apparatus. The paper aims at explaining these concepts and to analyze the behavior of two time series, one corresponding to the currency exchange rate (Leu - Euro) and the other one to the Cambridge Bitcoin Electricity Consumption Index (CBECI).

Suggested Citation

  • Sorin Vlad & Mariana Vlad, 2022. "Nonlinear Analysis of Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 478-483, Decembrie.
    • Handle: RePEc:ovi:oviste:v:xxii:y:2022:i:2:p:478-483
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    References listed on IDEAS

    as
    1. Camilo Mora & Randi L. Rollins & Katie Taladay & Michael B. Kantar & Mason K. Chock & Mio Shimada & Erik C. Franklin, 2018. "Bitcoin emissions alone could push global warming above 2°C," Nature Climate Change, Nature, vol. 8(11), pages 931-933, November.
    2. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    nonlinear analysis; chaos; neural networks; ARIMA;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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