Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl


2014 | 191 | 46-56

Article title

Wpływ optymalnych parametrów redukcji szumu losowego na identyfikację chaosu w ekonomicznych szeregach czasowych


Title variants

Effect of Optimum Parameters of Random Noise Reduction on the Identification of Chaos in Economic Time Series

Languages of publication



Real time series are usually disturbed by random noise and the presence of noise in the data can significantly affect the characteristics of dynamic system. The aim of the article will be to research the effect of re duction of random noise by the nearest neighbor method on the identification of chaos in time series. The test will be conducted on the basis of selected financial time series.






Physical description



  • Cao L., Method of False Nearest Neighbors, [w:] Modeling and Forecasting Financial Data, ed. A.S. Soofi, L. Cao, Kluwer, Boston 2001.
  • Guégan D., Leroux J., Forecasting Chaotic Systems: The Role of Local Lyapunov Exponents, "Chaos, Solitons & Fractals" 2009, Vol. 41.
  • Kantz H., Schreiber T., Nonlinear Time Series Analysis, Cambridge University Press, Cambridge 2004.
  • Kennel M.B., Brown R., Abarbanel H.D.I., Detecting Embedding Dimension for Phase Space Reonstruction Using a Geometrical Construction, "Physical Review A" 1992, Vol. 45.
  • Kyrtsou C., Terraza M., Stochastic Chaos or ARCH Effects in Stock Series? A Comparative Study, "International Review of Financial Analysis" 2002, Vol. 11.
  • Miśkiewicz-Nawrocka M., Zastosowanie wykładników Lapunowa do analizy ekonomicznych szeregów czasowych, Wydawnictwo Uniwersytetu Ekonomicznego, Katowice 2012.
  • Orzeszko W., Identyfikacja i prognozowanie chaosu deterministycznego w ekonomicznych szeregach czasowych, Polskie Towarzystwo Ekonomiczne, Warszawa 2005.
  • Ott E., Chaos w układach dynamicznych, Wydawnictwa Naukowo-Techniczne, Warszawa 1997.
  • Ramsey J.B., Sayers C.L., Rothman P., The Statistical Properties of Dimension Calculations Using Small Data Sets: Some Economic Applications, "International Economic Review" 1990, Vol. 31, No. 4.
  • Takens F., Detecting Strange Attractors in Turbulence, [w:] Lecture Notes in Mathematics, ed. D.A. Rand and L.S. Young, Springer, Berlin 1981.
  • Zawadzki H., Chaotyczne systemy dynamiczne, Wydawnictwo Akademii Ekonomicznej, Katowice 1996.
  • Zhang J., Lam K.C., Yan W.J., Gao H., Li Y, Time Series Prediction Using Lyapunov Exponents in Embedding Phase Space, "Computers and Electrical Engineering" 2004, Vol. 30.

Document Type

Publication order reference



YADDA identifier

JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.