Nonlinear dynamics in foreign exchange markets

被引：8
|
作者：
Sengupta, JK [1 ]
Sfeir, RE
机构：
[1] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA
[2] Chapman Univ, Sch Business, Orange, CA 92666 USA
来源：
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE | 1998年 / 29卷 / 11期
关键词：
D O I：
10.1080/00207729808929610
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Four types of nonlinear dynamics are empirically analysed here in respect of the current international foreign exchange markets, e.g. autoregressive heteroscedasticity model, Lorenz-type chaos, hysteresis and the positive feedback model. The estimated results provide strong support to the existence of significant nonlinearities in the exchange market dynamics in an intel national framework. Also, future expectations play an equal or more dominant role over past trends in influencing the current rates of market volatility.
引用
收藏
页码：1213 / 1224
页数：12
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