Practical chaos time series analysis with financial applications

被引：0

作者：

Matsuba, I ^{[1
]}

Suyari, H ^{[1
]}

Weon, S ^{[1
]}

Sato, D ^{[1
]}

机构：

[1] Chiba Univ, Fac Engn, Dept Informat & Image Sci, Inage Ku, Chiba 2638522, Japan

来源：

2000 5TH INTERNATIONAL CONFERENCE ON SIGNAL PROCESSING PROCEEDINGS, VOLS I-III | 2000年

关键词：

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

We describe the practical implementation of the nonlinear (chaos) time series analysis based on the paradigm of deterministic chaos. Some important techniques of statistical test for nonlinearity, phase space reconstruction, and nonlinear prediction are discussed with some applications to finance. The use of the nonlinear time series analysis is illustrated with particular emphasis on issues of choices of time delay coordinate and embedding parameters. Finally, we propose the weighted embedding method which is found to work well in financial applications.

引用

页码：265 / 271

页数：7

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