CHAOTIC BEHAVIOUR IN IRAN FOREIGN EXCHANGE RATE MARKET

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BABAZADEH MOHAMAD; ELMI SIAMAK; ATBAEI FARAMARZ; MAHMOODZADEH SOHIL

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Journal: Macroeconomic Research Letter Year:2010 | Volume:10 | Issue:1 (37) Page(s): 13-32

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Title

CHAOTIC BEHAVIOUR IN IRAN FOREIGN EXCHANGE RATE MARKET

Author(s)

BABAZADEH MOHAMAD | ELMI SIAMAK | ATBAEI FARAMARZ | MAHMOODZADEH SOHIL | Issue Writer Certificate

Keywords

CHAOSQ2

EXCHANGE RATEQ3

LYAPUNOV EXPONENTQ3

STRANGE ATTRACTORQ2

Abstract

Chaotic theory suggests a new method for studying trends in markets and reveals the hidden pattern behind the data that common models can not define them. The usual tests for CHAOS are calculation of the largest LYAPUNOV EXPONENT (Le) and STRANGE ATTRACTORs. A positive largest LYAPUNOV EXPONENT indicates CHAOS. Positive amount of "Le" shows chaoticness of process and difficulty of predictability and when it is negative, it shows that process in the long run is non chaotic and predicable. If "Le" moves towards positive quantity near zero, chaotic system is weak and middle term predictability is possible. In this article, with regard to test of STRANGE ATTRACTOR and biggest LYAPUNOV EXPONENT probability of CHAOS on several foreign EXCHANGE RATEs vs. IRR (Iranian Rial) from 1992/3/25 to 2007/5/23 and two artificial models with regard to the Takens embedding theorem have been investigated. Results show that data in this market have complex chaotic behavior with big degree of freedom, in addition; trend in Iran Exchange Market is not linear and we can not forecast it with common linear methods.

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APA: Copy

BABAZADEH, MOHAMAD, ELMI, SIAMAK, ATBAEI, FARAMARZ, & MAHMOODZADEH, SOHIL. (2010). CHAOTIC BEHAVIOUR IN IRAN FOREIGN EXCHANGE RATE MARKET. JOURNAL OF MACROECONOMICS (JOURNAL OF ECONOMICS SCIENCES), 10(1 (37)), 13-32. SID. https://sid.ir/paper/150927/en

Vancouver: Copy

BABAZADEH MOHAMAD, ELMI SIAMAK, ATBAEI FARAMARZ, MAHMOODZADEH SOHIL. CHAOTIC BEHAVIOUR IN IRAN FOREIGN EXCHANGE RATE MARKET. JOURNAL OF MACROECONOMICS (JOURNAL OF ECONOMICS SCIENCES)[Internet]. 2010;10(1 (37)):13-32. Available from: https://sid.ir/paper/150927/en

IEEE: Copy

MOHAMAD BABAZADEH, SIAMAK ELMI, FARAMARZ ATBAEI, and SOHIL MAHMOODZADEH, “CHAOTIC BEHAVIOUR IN IRAN FOREIGN EXCHANGE RATE MARKET,” JOURNAL OF MACROECONOMICS (JOURNAL OF ECONOMICS SCIENCES), vol. 10, no. 1 (37), pp. 13–32, 2010, [Online]. Available: https://sid.ir/paper/150927/en

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