MODELS OF AN ESTIMATION OF FINANCIAL PARAMETERS IN VIEW OF THEIR STOCHASTICITY AND CHAOTIC CONDITION


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Abstract

The method of an estimation of presence of chaotic component and nonlinear dependence for the temporal sequence of values of financial indicators are described in this article. The technique is based on the application of the algorithm of Grassberger-Prokachchia, in order to evaluate the dynamic component of BDS - statistics for testing the presence of nonlinear dependence between the components of time series. On the example of the RTS index over the past 11 years, the presence of chaotic component of order at least 11%, the lack of low-dimensional chaos, and the presence of nonlinear communication between the values of the index is defined.

About the authors

E. N. Barysheva

the Dept. of Mathematics and Buziness-Informatics, Samara State University, Samara, 443011, Russian Federation.

Author for correspondence.
Email: morenov.sv@ssau.ru

V. N. Nikishov

the Dept. of Mathematics and Buziness-Informatics, Samara State University, Samara, 443011, Russian Federation.

Email: morenov.sv@ssau.ru

References


Copyright (c) 2017 Vestnik of Samara University. Economics and Management

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