An Empirical Analysis on Forecasting Stock Price: By Maximum Lyapunov Exponent and Fractal Dimension

Author(s):  
Hanchao Yang
2020 ◽  
Vol 30 (12) ◽  
pp. 2030034
Author(s):  
Francis F. Franco ◽  
Erico L. Rempel

The nonlinear dynamics of a recently derived generalized Lorenz model [ Macek & Strumik, 2010 ] of magnetoconvection is studied. A bifurcation diagram is constructed as a function of the Rayleigh number where attractors and nonattracting chaotic sets coexist inside a periodic window. The nonattracting chaotic sets, also called chaotic saddles, are responsible for fractal basin boundaries with a fractal dimension near the dimension of the phase space, which causes the presence of very long chaotic transients. It is shown that the chaotic saddles can be used to infer properties of chaotic attractors outside the periodic window, such as their maximum Lyapunov exponent.


Author(s):  
Athina Bougioukou

The intention of this research is to investigate the aspect of non-linearity and chaotic behavior of the Cyprus stock market. For this purpose, we use non-linearity and chaos theory. We perform BDS, Hinich-Bispectral tests and compute Lyapunov exponent of the Cyprus General index. The results show that existence of non-linear dependence and chaotic features as the maximum Lyapunov exponent was found to be positive. This study is important because chaos and efficient market hypothesis are mutually exclusive aspects. The efficient market hypothesis which requires returns to be independent and identically distributed (i.i.d.) cannot be accepted.


2011 ◽  
Vol 243-249 ◽  
pp. 5435-5439 ◽  
Author(s):  
Jian Xi Yang ◽  
Jian Ting Zhou ◽  
Yue Chen

The paper has made a maximum Lyapunov exponent and Lyapunov exponent spectrum entropy analysis of ASCE Benchmark using non-linear theory and chaos time sequence. The maximum Lyapunov exponents in the two kinds of structural monitored data are both over zero, indicating that in the structural system chaos phenomenon has appeared. And, experiments have shown that the maximum Lyapunov exponent is sensitive of the amount of samples and the time delay. So, to compute the chaos index, the amount of samples and the time duration are of importance. Meanwhile, the Lyapunov exponent spectrum entropy is effective to measure the chaotic characteristic of the system, but ,the entropy is less sensitive to state recognition more than the max Lyapunov exponent.


2009 ◽  
Vol 216 (1) ◽  
pp. 115-121 ◽  
Author(s):  
Sandeep P. Nair ◽  
Deng-Shan Shiau ◽  
Jose C. Principe ◽  
Leonidas D. Iasemidis ◽  
Panos M. Pardalos ◽  
...  

2017 ◽  
Vol 64 (2) ◽  
pp. 561-570 ◽  
Author(s):  
Snezana Milosevic-Avdalovic ◽  
Ivan Milenkovic

2021 ◽  
Vol 9 (1) ◽  
Author(s):  
Abigail Ortiz ◽  
Kamil Bradler ◽  
Maxine Mowete ◽  
Stephane MacLean ◽  
Julie Garnham ◽  
...  

Abstract Background Understanding the underlying architecture of mood regulation in bipolar disorder (BD) is important, as we are starting to conceptualize BD as a more complex disorder than one of recurring manic or depressive episodes. Nonlinear techniques are employed to understand and model the behavior of complex systems. Our aim was to assess the underlying nonlinear properties that account for mood and energy fluctuations in patients with BD; and to compare whether these processes were different in healthy controls (HC) and unaffected first-degree relatives (FDR). We used three different nonlinear techniques: Lyapunov exponent, detrended fluctuation analysis and fractal dimension to assess the underlying behavior of mood and energy fluctuations in all groups; and subsequently to assess whether these arise from different processes in each of these groups. Results There was a positive, short-term autocorrelation for both mood and energy series in all three groups. In the mood series, the largest Lyapunov exponent was found in HC (1.84), compared to BD (1.63) and FDR (1.71) groups [F (2, 87) = 8.42, p < 0.005]. A post-hoc Tukey test showed that Lyapunov exponent in HC was significantly higher than both the BD (p = 0.003) and FDR groups (p = 0.03). Similarly, in the energy series, the largest Lyapunov exponent was found in HC (1.85), compared to BD (1.76) and FDR (1.67) [F (2, 87) = 11.02; p < 0.005]. There were no significant differences between groups for the detrended fluctuation analysis or fractal dimension. Conclusions The underlying nature of mood variability is in keeping with that of a chaotic system, which means that fluctuations are generated by deterministic nonlinear process(es) in HC, BD, and FDR. The value of this complex modeling lies in analyzing the nature of the processes involved in mood regulation. It also suggests that the window for episode prediction in BD will be inevitably short.


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