Observations of deterministic chaos in financial time series by recurrence plots, can one control chaotic economy? View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2001-04

AUTHORS

J.A. Hołyst, M. Żebrowska, K. Urbanowicz

ABSTRACT

Several economical time series such as exchange rates US$/British Pound, USA Treasure Bonds rates and Warsaw Stock Index WIG have been investigated using the method of recurrence plots. The percentage of recurrence REC and the percentage of determinism DET have been calculated for the original and for shuffled data. We have found that in some cases the values of REC and DET parameters are about 20% lower for the surrogate data which indicates the presence of unstable periodical orbits in the considered data. A similar result has been obtained for the chaotic Lorenz model contaminated by noise. Our investigations suggest that real economical dynamics is a mixture of deterministic and stochastic chaos. We show how a simple chaotic economic model can be controlled by appropriate influence of time-delayed feedback. More... »

PAGES

531-535

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/pl00011109

DOI

http://dx.doi.org/10.1007/pl00011109

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1002768397


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/0104", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Statistics", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/01", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Mathematical Sciences", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "alternateName": "Warsaw University of Technology", 
          "id": "https://www.grid.ac/institutes/grid.1035.7", 
          "name": [
            "Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland, PL"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Ho\u0142yst", 
        "givenName": "J.A.", 
        "id": "sg:person.014050647550.24", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014050647550.24"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "Warsaw University of Technology", 
          "id": "https://www.grid.ac/institutes/grid.1035.7", 
          "name": [
            "Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland, PL"
          ], 
          "type": "Organization"
        }, 
        "familyName": "\u017bebrowska", 
        "givenName": "M.", 
        "id": "sg:person.015334260327.74", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.015334260327.74"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "Warsaw University of Technology", 
          "id": "https://www.grid.ac/institutes/grid.1035.7", 
          "name": [
            "Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland, PL"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Urbanowicz", 
        "givenName": "K.", 
        "id": "sg:person.011365675036.70", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.011365675036.70"
        ], 
        "type": "Person"
      }
    ], 
    "datePublished": "2001-04", 
    "datePublishedReg": "2001-04-01", 
    "description": "Several economical time series such as exchange rates US$/British Pound, USA Treasure Bonds rates and Warsaw Stock Index WIG have been investigated using the method of recurrence plots. The percentage of recurrence REC and the percentage of determinism DET have been calculated for the original and for shuffled data. We have found that in some cases the values of REC and DET parameters are about 20% lower for the surrogate data which indicates the presence of unstable periodical orbits in the considered data. A similar result has been obtained for the chaotic Lorenz model contaminated by noise. Our investigations suggest that real economical dynamics is a mixture of deterministic and stochastic chaos. We show how a simple chaotic economic model can be controlled by appropriate influence of time-delayed feedback.", 
    "genre": "research_article", 
    "id": "sg:pub.10.1007/pl00011109", 
    "inLanguage": [
      "en"
    ], 
    "isAccessibleForFree": false, 
    "isPartOf": [
      {
        "id": "sg:journal.1129956", 
        "issn": [
          "1155-4304", 
          "1286-4862"
        ], 
        "name": "The European Physical Journal B", 
        "type": "Periodical"
      }, 
      {
        "issueNumber": "4", 
        "type": "PublicationIssue"
      }, 
      {
        "type": "PublicationVolume", 
        "volumeNumber": "20"
      }
    ], 
    "name": "Observations of deterministic chaos in financial time series by recurrence plots, can one control chaotic economy?", 
    "pagination": "531-535", 
    "productId": [
      {
        "name": "readcube_id", 
        "type": "PropertyValue", 
        "value": [
          "0d2e949e3b0315b8516aeda603b64b7bf80ab96f5b9ac0c4de496f878a6795bd"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1007/pl00011109"
        ]
      }, 
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1002768397"
        ]
      }
    ], 
    "sameAs": [
      "https://doi.org/10.1007/pl00011109", 
      "https://app.dimensions.ai/details/publication/pub.1002768397"
    ], 
    "sdDataset": "articles", 
    "sdDatePublished": "2019-04-10T23:18", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000001_0000000264/records_8693_00000485.jsonl", 
    "type": "ScholarlyArticle", 
    "url": "http://link.springer.com/10.1007/PL00011109"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/pl00011109'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/pl00011109'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/pl00011109'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/pl00011109'


 

This table displays all metadata directly associated to this object as RDF triples.

75 TRIPLES      20 PREDICATES      27 URIs      19 LITERALS      7 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1007/pl00011109 schema:about anzsrc-for:01
2 anzsrc-for:0104
3 schema:author N7c93abc3b2c04ecd878d96afbc0e1cd0
4 schema:datePublished 2001-04
5 schema:datePublishedReg 2001-04-01
6 schema:description Several economical time series such as exchange rates US$/British Pound, USA Treasure Bonds rates and Warsaw Stock Index WIG have been investigated using the method of recurrence plots. The percentage of recurrence REC and the percentage of determinism DET have been calculated for the original and for shuffled data. We have found that in some cases the values of REC and DET parameters are about 20% lower for the surrogate data which indicates the presence of unstable periodical orbits in the considered data. A similar result has been obtained for the chaotic Lorenz model contaminated by noise. Our investigations suggest that real economical dynamics is a mixture of deterministic and stochastic chaos. We show how a simple chaotic economic model can be controlled by appropriate influence of time-delayed feedback.
7 schema:genre research_article
8 schema:inLanguage en
9 schema:isAccessibleForFree false
10 schema:isPartOf N2d97a2732aeb4ec694fc4965571cdf32
11 N2f92e5b1cdc544dd819abdfc72398695
12 sg:journal.1129956
13 schema:name Observations of deterministic chaos in financial time series by recurrence plots, can one control chaotic economy?
14 schema:pagination 531-535
15 schema:productId N38f8615fd9b64533b5425789e4076133
16 N484f5a37edee4320a8df16f7e98d3b1f
17 N9bd657bffae74c96869039e20920c1be
18 schema:sameAs https://app.dimensions.ai/details/publication/pub.1002768397
19 https://doi.org/10.1007/pl00011109
20 schema:sdDatePublished 2019-04-10T23:18
21 schema:sdLicense https://scigraph.springernature.com/explorer/license/
22 schema:sdPublisher N65ae4f47b6aa45e1b2824c3896c39b5c
23 schema:url http://link.springer.com/10.1007/PL00011109
24 sgo:license sg:explorer/license/
25 sgo:sdDataset articles
26 rdf:type schema:ScholarlyArticle
27 N0bfc3b379f1f42a4b11e61df6b823563 rdf:first sg:person.015334260327.74
28 rdf:rest Na73e0da5dba44ba8a9d12a882ba3b0a7
29 N2d97a2732aeb4ec694fc4965571cdf32 schema:issueNumber 4
30 rdf:type schema:PublicationIssue
31 N2f92e5b1cdc544dd819abdfc72398695 schema:volumeNumber 20
32 rdf:type schema:PublicationVolume
33 N38f8615fd9b64533b5425789e4076133 schema:name dimensions_id
34 schema:value pub.1002768397
35 rdf:type schema:PropertyValue
36 N484f5a37edee4320a8df16f7e98d3b1f schema:name doi
37 schema:value 10.1007/pl00011109
38 rdf:type schema:PropertyValue
39 N65ae4f47b6aa45e1b2824c3896c39b5c schema:name Springer Nature - SN SciGraph project
40 rdf:type schema:Organization
41 N7c93abc3b2c04ecd878d96afbc0e1cd0 rdf:first sg:person.014050647550.24
42 rdf:rest N0bfc3b379f1f42a4b11e61df6b823563
43 N9bd657bffae74c96869039e20920c1be schema:name readcube_id
44 schema:value 0d2e949e3b0315b8516aeda603b64b7bf80ab96f5b9ac0c4de496f878a6795bd
45 rdf:type schema:PropertyValue
46 Na73e0da5dba44ba8a9d12a882ba3b0a7 rdf:first sg:person.011365675036.70
47 rdf:rest rdf:nil
48 anzsrc-for:01 schema:inDefinedTermSet anzsrc-for:
49 schema:name Mathematical Sciences
50 rdf:type schema:DefinedTerm
51 anzsrc-for:0104 schema:inDefinedTermSet anzsrc-for:
52 schema:name Statistics
53 rdf:type schema:DefinedTerm
54 sg:journal.1129956 schema:issn 1155-4304
55 1286-4862
56 schema:name The European Physical Journal B
57 rdf:type schema:Periodical
58 sg:person.011365675036.70 schema:affiliation https://www.grid.ac/institutes/grid.1035.7
59 schema:familyName Urbanowicz
60 schema:givenName K.
61 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.011365675036.70
62 rdf:type schema:Person
63 sg:person.014050647550.24 schema:affiliation https://www.grid.ac/institutes/grid.1035.7
64 schema:familyName Hołyst
65 schema:givenName J.A.
66 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014050647550.24
67 rdf:type schema:Person
68 sg:person.015334260327.74 schema:affiliation https://www.grid.ac/institutes/grid.1035.7
69 schema:familyName Żebrowska
70 schema:givenName M.
71 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.015334260327.74
72 rdf:type schema:Person
73 https://www.grid.ac/institutes/grid.1035.7 schema:alternateName Warsaw University of Technology
74 schema:name Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland, PL
75 rdf:type schema:Organization
 




Preview window. Press ESC to close (or click here)


...