NONLINEAR DYNAMICS IN FOREIGN-EXCHANGE MARKETS

Authors
SENGUPTA JK SFEIR RE
Citation
Jk. Sengupta et Re. Sfeir, NONLINEAR DYNAMICS IN FOREIGN-EXCHANGE MARKETS, International Journal of Systems Science, 29(11), 1998, pp. 1213-1224
Citations number
16
Categorie Soggetti
Computer Science Theory & Methods","Operatione Research & Management Science","Computer Science Theory & Methods","Operatione Research & Management Science","Robotics & Automatic Control
Journal title
International Journal of Systems Science → ACNP
ISSN journal
00207721
Volume
29
Issue
11
Year of publication
1998
Pages
1213 - 1224
Database
ISI
SICI code
0020-7721(1998)29:11<1213:NDIFM>2.0.ZU;2-6
Abstract
Four types of nonlinear dynamics are empirically analysed here in resp ect of the current international foreign exchange markets, e.g. autore gressive heteroscedasticity model, Lorenz-type chaos, hysteresis and t he positive feedback model. The estimated results provide strong suppo rt to the existence of significant nonlinearities in the exchange mark et dynamics in an intel national framework. Also, future expectations play an equal or more dominant role over past trends in influencing th e current rates of market volatility.