Chaos in historical prices and volatilities with five-dimensional euclidean spaces
From the Diagram Accuracy-Deviation and the new quantifier of chaos, this paper presents time series analysis for historical prices, volatilities and returns. The study cases are financial price series of United States Brent Oil (BNO), Wipro Limited (WIT), Nasdaq, Inc. (NDAQ) and SPDR S&P 500 ET...
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| Format: | Article |
| Language: | English |
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Elsevier
2019-03-01
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| Series: | Chaos, Solitons & Fractals: X |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590054419300016 |