Chaotic Dynamics Analysis Based on Financial Time Series
It is a common phenomenon in the field of financial research to study the dynamic of financial market and explore the complexity of financial system by using various complex scientific methods. In this paper, the chaotic dynamic properties of financial time series are analyzed. Firstly, the nonlinea...
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/2373423 |
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| _version_ | 1832561414905004032 |
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| author | Zheng Gu Yuhua Xu |
| author_facet | Zheng Gu Yuhua Xu |
| author_sort | Zheng Gu |
| collection | DOAJ |
| description | It is a common phenomenon in the field of financial research to study the dynamic of financial market and explore the complexity of financial system by using various complex scientific methods. In this paper, the chaotic dynamic properties of financial time series are analyzed. Firstly, the nonlinear characteristics of the data are discussed through the empirical analysis of agriculture index data; the daily agriculture index returns can be decomposed into the different scales based on wavelet analysis. Secondly, the dynamic system of some nonlinear characteristic data is established according to the Taylor series expansion form, and the corresponding dynamic characteristics are analyzed. Finally, the bifurcation diagram of the system shows complicated bifurcation phenomena, which provides a perspective for the analysis of chaotic phenomena of economic data. |
| format | Article |
| id | doaj-art-310ba22955674745beb9aac97d3dbab5 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-310ba22955674745beb9aac97d3dbab52025-02-03T01:24:59ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/23734232373423Chaotic Dynamics Analysis Based on Financial Time SeriesZheng Gu0Yuhua Xu1School of Finance, Nanjing Audit University, Nanjing, Jiangsu 211815, ChinaSchool of Finance, Nanjing Audit University, Nanjing, Jiangsu 211815, ChinaIt is a common phenomenon in the field of financial research to study the dynamic of financial market and explore the complexity of financial system by using various complex scientific methods. In this paper, the chaotic dynamic properties of financial time series are analyzed. Firstly, the nonlinear characteristics of the data are discussed through the empirical analysis of agriculture index data; the daily agriculture index returns can be decomposed into the different scales based on wavelet analysis. Secondly, the dynamic system of some nonlinear characteristic data is established according to the Taylor series expansion form, and the corresponding dynamic characteristics are analyzed. Finally, the bifurcation diagram of the system shows complicated bifurcation phenomena, which provides a perspective for the analysis of chaotic phenomena of economic data.http://dx.doi.org/10.1155/2021/2373423 |
| spellingShingle | Zheng Gu Yuhua Xu Chaotic Dynamics Analysis Based on Financial Time Series Complexity |
| title | Chaotic Dynamics Analysis Based on Financial Time Series |
| title_full | Chaotic Dynamics Analysis Based on Financial Time Series |
| title_fullStr | Chaotic Dynamics Analysis Based on Financial Time Series |
| title_full_unstemmed | Chaotic Dynamics Analysis Based on Financial Time Series |
| title_short | Chaotic Dynamics Analysis Based on Financial Time Series |
| title_sort | chaotic dynamics analysis based on financial time series |
| url | http://dx.doi.org/10.1155/2021/2373423 |
| work_keys_str_mv | AT zhenggu chaoticdynamicsanalysisbasedonfinancialtimeseries AT yuhuaxu chaoticdynamicsanalysisbasedonfinancialtimeseries |