Dynamic parameters for Brazilian financial time series

Dynamic parameters for Brazilian financial time series

In this study we analyse a Brazilian stock index called IBOVESPA using techniques from dynamical systems theory and stochastic processes. We discuss the Lyapunov exponent, the correlation dimension, the LempelZiv complexity, the Hurst exponent and the BDS statistics. We compare this study with othe...

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Bibliographic Details
Main Authors: Gerson Francisco, Cláudio Paiva, Rogerio Rosenfeld
Format: Article
Language:Portuguese
Published: Universidade de São Paulo 2002-02-01
Series:Economia Aplicada
Subjects:
deterministic
stochastic
reconstruction in phase space
complexity
Online Access:https://www.revistas.usp.br/ecoa/article/view/219890

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