PL EN


2013 | 159 | 124-135
Article title

Badanie wpływu redukcji poziomu szumu losowego na identyfikację chaosu deterministycznego w ekonomicznych szeregach czasowych

Content
Title variants
EN
The Study of the Effect of Random Noise Reduction on the Identification of Chaotic Dynamics in the Economic Time Series
Languages of publication
PL
Abstracts
EN
The aim of the papers is to study the effect of noise reduction, carried out using the nearest neighbor method, on the identification of chaotic dynamics in the selected time series. The tools used to distinguish chaotic time series from random ones will be the BDS statistic and the correlation dimension The test will be conducted based on the economic time series which consist of closing share prices of companies listed on the Warsaw Stock Exchange and the daily exchange rates.
Year
Volume
159
Pages
124-135
Physical description
Contributors
References
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  • Brock W.A., Hsieh D.A., LeBaron B. (1991): Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence. MIT Press, Cambridge, MA.
  • Grassberger P., Procaccia I. (1983a): Characterization of Strange Attractors. "Phys. Rev. Lett.", 50, s. 346-349.
  • Grassberger P., Procaccia I. (1983b): Measuring the Strangeness of Strange Attractors. "Physica D 9", s. 189-208.
  • Kantz H., Schreiber T. (1977): Nonlinear Time Series Analysis. Cambridge University Press, Cambridge.
  • Osińska M. (2006): Ekonometria finansowa. PWE, Warszawa.
  • Orzeszko W. (2005): Identyfikacja i prognozowanie chaosu deterministycznego w ekonomicznych szeregach czasowych. Polskie Towarzystwo Ekonomiczne, Warszawa.
  • Takens F. (1981): Detecting Strange Attractors in Turbulence. In: Lecture Notes in Mathematics. Ed. D.A. Rand and L.S. Young. Springer, Berlin, s. 366-381.
  • Zawadzki H. (1996): Chaotyczne systemy dynamiczne. Wydawnictwo Akademii Ekonomicznej, Katowice.
  • Zeug-Żebro K. (2008): Uwagi o statystyce BDS i wykładniku Hursta w odniesieniu do danych giełdowych. Studia Ekonomiczne, nr 50, Wydawnictwo Akademii Ekonomicznej, Katowice, s. 169-177.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-a13c73d1-a1f1-4b38-b1fa-6cb9cb08a9a4
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