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Investigating Chaotic Behavior In Economic Series: The Delay Time In The Grassberger–Procaccia Algorithm

Author

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  • TERESA APARICIO

    (Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain)

  • EDUARDO POZO

    (Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain)

  • DULCE SAURA

    (Dept. of Economic Analysis, University of Zaragoza, Gran Vía 2, 50005-Zaragoza, Spain)

Abstract

In this paper we try to bring forward evidence on the practical application of the Grassberger–Procaccia algorithm, in particular on the determination of the "delay time" parameter. For this purpose, we analyze the results obtained from applying the main methods proposed to calculate this delay time for series simulated from well-known chaotic systems. As the most relevant result we conclude that, in general, all the methods display inadequate behavior, except for that based on the previous filtering of the series according to singular value decomposition. In a second stage we apply the same study to three financial series, with the results appearing to confirm the advantage of this method.

Suggested Citation

  • Teresa Aparicio & Eduardo Pozo & Dulce Saura, 1999. "Investigating Chaotic Behavior In Economic Series: The Delay Time In The Grassberger–Procaccia Algorithm," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 357-380.
    • Handle: RePEc:wsi:ijtafx:v:02:y:1999:i:04:n:s0219024999000194
    DOI: 10.1142/S0219024999000194
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    Cited by:

    1. Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.

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