Abstract
There have been a number of claims to have discovered chaos in economic time series. This paper presents investigations of the continuous tick-by-tick Dollar/DM foreign exchange spot rate for one week, and a daily returns series from the New York Stock Exchange for over a century, both containing more than 20,000 data points. Three mathematical tests fail to find any signs of chaotic behaviour. The suggestion is that earlier announcements of chaos in such series may have been due to researchers using series with too few data points. Preliminary evidence is found for a ‘multifractal’ structure of the very high frequency Forex (Foreign Exchange) fluctuations.
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Vassilicos, J.C., Demos, A., Tata, F. (1993). No Evidence of Chaos But Some Evidence of Multifractals in the Foreign Exchange and the Stock Markets. In: Crilly, A.J., Earnshaw, R.A., Jones, H. (eds) Applications of Fractals and Chaos. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-78097-4_16
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DOI: https://doi.org/10.1007/978-3-642-78097-4_16
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