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A TEST FOR CHAOS IN FUTURES OIL MARKET
oleh: Hamid Abrishami, Ali Moeini, Mahdi Ahrari
| Format: | Article |
|---|---|
| Diterbitkan: | Allameh Tabataba'i University Press 2002-03-01 |
Deskripsi
In recent years, the theories of nonlinear systems in general and chaotic systems in particular have received a great deal of attention in the economic research.Based on the assumption that at least part of the underling process is nonlinear, chaos analysis evaluates whether that process in deterministic.In this research, first by applying Correlation Dimension (CD) and Largest Lyapunov Exponent (LLE), the evidence of chaos in oil future prices (1996-99) appeared to be true. Then the logestic map is explained and finally the Largest Lyapunov Exponent (LLE) estimate of the first sectiona is compared with the calculated LLE under the logistic function.