Computational Economics

, Volume 11, Issue 3, pp 265–281

Chaos in Foreign Exchange Markets: A Sceptical View

  • Chris Brooks

DOI: 10.1023/A:1008650024944

Cite this article as:
Brooks, C. Computational Economics (1998) 11: 265. doi:10.1023/A:1008650024944


This paper tests directly for deterministic chaos in a set of ten daily Sterling-denominated exchange rates by calculating the largest Lyapunov exponent. Although in an earlier paper, strong evidence of nonlinearity has been shown, chaotic tendencies are noticeably absent from all series considered using this state-of-the-art technique. Doubt is cast on many recent papers which claim to have tested for the presence of chaos in economic data sets, based on what are argued here to be inappropriate techniques.

chaosnonlinearitylyapunov exponentscorrelation dimensionexchange rates

Copyright information

© Kluwer Academic Publishers 1998

Authors and Affiliations

  • Chris Brooks
    • 1
  1. 1.Department of EconomicsUniversity of ReadingReading