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Chaos and the Foreign Exchange Market

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Modeling Complex Phenomena

Part of the book series: Woodward Conference ((WOODWARD))

Abstract

In the past, complex phenomena have often been assumed to be the result of stochastic processes. Because systems that exhibit chaos appear stochastic, measures are needed to differentiate among them. A common measure, the correlation dimension, is determined from the time series generated by daily foreign exchange spot prices for the Swiss Franc, Japanese Yen, and French Franc. The correlation dimension is found to saturate at dC ≈ 2.8 for the Swiss Franc and Japanese Yen, and at dC ≈ 2.1 for the French Franc.

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Author information

Authors and Affiliations

  1. Nonlinear Physics Group, Department of Physics, San Jose State University, San Jose, CA, 95192-0106, USA

    C. Larsen & L. Lam

Authors
  1. C. Larsen
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  2. L. Lam
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Editor information

Editors and Affiliations

  1. Department of Physics, San Jose State University, San Jose, CA, 95192, USA

    Lui Lam

  2. Department of Mathematics and Computer Science, San Jose State University, San Jose, CA, 95192, USA

    Vladimir Naroditsky

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© 1992 Springer-Verlag New York, Inc.

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Larsen, C., Lam, L. (1992). Chaos and the Foreign Exchange Market. In: Lam, L., Naroditsky, V. (eds) Modeling Complex Phenomena. Woodward Conference. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-9229-3_8

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  • DOI: https://doi.org/10.1007/978-1-4613-9229-3_8

  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-1-4613-9231-6

  • Online ISBN: 978-1-4613-9229-3

  • eBook Packages: Springer Book Archive

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