USING LYAPUNOV EXPONENT FOR MODELING TIME SERIES OF OIL PRICE BASED ON LOGISTIC MAP

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MOEINI ALI; ABRISHAMI H.; AHRARI M.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Journal of Economic Research Year:2007 | Volume:- | Issue:76 Page(s): 77-100

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Information Journal Paper

Title

USING LYAPUNOV EXPONENT FOR MODELING TIME SERIES OF OIL PRICE BASED ON LOGISTIC MAP

Author(s)

MOEINI ALI | ABRISHAMI H. | AHRARI M. | Issue Writer Certificate

Keywords

CHAOSQ2

LOGISTIC MAPQ3

OIL PRICEQ2

DYNAMIC SYSTEMSQ3

LYAPUNOV EXPONENTQ3

TIME SERIESQ3

Abstract

In recent years, the theory of nonlinear systems in general and chaotic systems in particular has received a great deal of attentions in the economic research. Nonlinear systems show many behaviors which can be used to explain complex and deterministic features of economic systems. In this paper a new approach is proposed to fit a nonlinear dynamic function to a TIME SERIES. First LYAPUNOV EXPONENT of the TIME SERIES is calculated. Then LYAPUNOV EXPONENT is calculated: from an assumed function. By comparing these two exponents, we are able to estimate the parameters of the function. LOGISTIC MAP is used as the dynamic function and TIME SERIES of price of oil is fitted by this function.

Cites

References

A TEST FOR CHAOS IN FUTURES OIL MARKET

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APA: Copy

MOEINI, ALI, ABRISHAMI, H., & AHRARI, M.. (2007). USING LYAPUNOV EXPONENT FOR MODELING TIME SERIES OF OIL PRICE BASED ON LOGISTIC MAP. TAHGHIGHAT-E-EGHTESADI, -(76), 77-100. SID. https://sid.ir/paper/12072/en

Vancouver: Copy

MOEINI ALI, ABRISHAMI H., AHRARI M.. USING LYAPUNOV EXPONENT FOR MODELING TIME SERIES OF OIL PRICE BASED ON LOGISTIC MAP. TAHGHIGHAT-E-EGHTESADI[Internet]. 2007;-(76):77-100. Available from: https://sid.ir/paper/12072/en

IEEE: Copy

ALI MOEINI, H. ABRISHAMI, and M. AHRARI, “USING LYAPUNOV EXPONENT FOR MODELING TIME SERIES OF OIL PRICE BASED ON LOGISTIC MAP,” TAHGHIGHAT-E-EGHTESADI, vol. -, no. 76, pp. 77–100, 2007, [Online]. Available: https://sid.ir/paper/12072/en

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