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Essays on Exchange Rates Deterministic Chaos and Technical Analysis

References A-H

Abarbanel H. D. I. (1996). Analysis of Observed Chaotic Data. Springer-Verlag.

Abarbanel H. D. I., Brown R. & Kennel M. B. (1991). Variation of Lyapunov
Exponents on a Strange Attractor. Journal of Nonlinear Science, 1, 175-199.

Abarbanel H. D. I., Brown R. & Kennel M. B. (1992). Local Lyapunov Exponents
Computed from Observed Data. Journal of Nonlinear Science, 2, 343-365.

Abarbanel H. D. I., Brown R., Sidorowich J. J. & Tsimring L. S. (1993). The
Analysis of Observed Chaotic Data in Physical Systems. Reviews of Modern
Physics, 65, 1331-1392.

Bailey B. A. (1996). Asymptotics and Applications of Local Lyapunov Exponents.PhD thesis, Department of Statistics, North Carolina State University.

Barna G. and Tsuda I. (1993). A New Method for Computing Lyapunov Exponents. Physics Letters A, 175, 421-427.

Briggs K. (1990). An Improved Method for Estimating Liapunov Exponents of
Chaotic Time Series. Physics Letters A, 151, 27-32.

Brock W., Lakonishok J. & LeBaron B. (1992). Simple Technical Trading Rules
and the Stochastic Properties of Stock Returns. The Journal of Finance, 47,
1731-1764.

Broomhead D. S. and King G. P. (1986). Extracting Qualitative Dynamics from
Experimental Data. Physica D, 20, 217-236.

Brown R., Bryant P. & Abarbanel H. D. I. (1991). Computing the Lyapunov Spectrum of a Dynamical System from an Observed Time Series. Physical Review A, 43, 2787-2806.

Casdagli M., Eubank S., Farmer J. D. & Gibson J. (1991). State Space Reconstruction in the Presence of Noise. Physica D, 51, 52-98.

Chan K. S. and Tong H. (1994). A Note on Noisy Chaos. Journal of the Royal
Statistical Society B, 56, 301-311.

Cutler D. M., Poterba J. M. & Summers L. H. (1991). Speculative Dynamics. Review of Economic Studies, 58, 529-546.

Dechert W. D. and Gencay R. (1992). Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis. Journal of Applied Econometrics, 7, S41-S60.

Dechert W. D. and GenCay R. (1996). The Topological Invariance of Lyapunov
Exponents in Embedded Dynamics. Physica D, 90, 40-55.

De Grauwe P., Dewachter H. & Embrechts M. (1993). Exchange Rate Theory:
Chaotic Models of Foreign Exchange Markets. Blackwell Publishers.

Dominguez K. M. (1986). Are Foreign Exchange Forecasts Rational? - New Evidence from Survey Data. Economics Letters, 21, 277-281.

Dornbusch R. (1976). Expectations and Exchange Rate Dynamics. Journal of Political Economy, 84, 1161-1176.

Eckmann J.-P., Oliffson Kamphorst S., Ruelle D. & Ciliberto S. (1986). Liapunov
Exponents from Time Series. Physical Review A, 34, 4971-4979.

Eckmann J.-P. and Ruelle D. (1985). Ergodic Theory of Chaos and Strange Attractors. Reviews of Modern Physics, 57, 617-656.

Efron B. (1979). Bootstrap Methods: Another Look at the Jackknife. The Annals of Statistics, 7, 1-26.

Ellner S., Gallant A. R., McCaffrey D. F. & Nychka D. W. (1991). Convergence
Rates and Data Requirements for Jacobian-Based Estimates of Lyapunov Exponents from Data. Physics Letters A, 153, 357-363.

Farmer J. D., Ott E. & Yorke J. A. (1983). The Dimension of Chaotic Attractors.
Physica D, 7, 153-180.

Frankel J. A. and Froot K. A. (1986). Understanding the US Dollar in the Eighties: The Expectations of Chartists and Fundamentalists. The Economic Record, S62, 24-38.

Frankel J. A. and Froot K. A. (1990). Chartists, Fundamentalists and the Demand for Dollars. In Private Behaviour and Government Policy in Interdependent Economies by Courakis A. S. and Taylor M. P. eds., Oxford University Press, 73-126.

Frankel J. A. and Rose A. K. (1995). Empirical Research on Nominal Exchange
Rates. In Handbook of International Economics vol. 3 by Grossman G. M. and
Rogoff K. eds., North-Holland, 1689-1729.

Fraser A. M. and Swinney H. L. (1986). Independent Coordinates for Strange Attractors from Mutual Information. Physical Review A, 33, 1134-1140.

GenCay R. (1996a). A Statistical Framework for Testing Chaotic Dynamics via
Lyapunov Exponents. Physica D, 89, 261-266.

Gencay R. (1996b). Non-linear Prediction of Security Returns with Moving Averages Rules. Journal of Forecasting, 15, 165-174.

Gencay R. and Dechert W. D. (1992). An Algorithm for the n Lyapunov Exponents of an n-Dimensional Unknown Dynamical System. Physica D, 59, 142-157.

Grassberger P. and Procaccia I. (1983). Characterization of Strange Attractors. Physical Review Letters, 50, 346-349.

Henon M. (1976). A Two-Dimensional Mapping with a Strange Attractor. Communications in Mathematical Physics, 50, 69-77. Ito T. (1990). Foreign Exchange Rate Expectations: Micro Survey Data. The American Economic Review, 80, 434-449. Ito T. (1994). Short-Run and Long-Run Expectations of the Yen/Dollar Exchange Rate. Journal of the Japanese and International Economies, 8, 119-143.

Prof. Mikael Bask

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