THE ANALYSIS OF NON LINEAR AND CHAOTIC BEHAVIOR OF FOREIGN EXCHANGE MARKET IN IRAN

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SHAHIKI TASH MOHAMMADNABI; DINARZAHI KHADIJEH; DEJKAM ARSALAN

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Journal: TREND (TREND OF ECONOMIC RESEARCH) Year:2014 | Volume:20 | Issue:63-64 Page(s): 39-57

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Title

THE ANALYSIS OF NON LINEAR AND CHAOTIC BEHAVIOR OF FOREIGN EXCHANGE MARKET IN IRAN

Author(s)

SHAHIKI TASH MOHAMMADNABI | DINARZAHI KHADIJEH | DEJKAM ARSALAN | Issue Writer Certificate

Keywords

CHAOS THEOREMQ2

BDS TESTQ3

HURST EXPONENTQ2

LARGEST LYAPUNOV EXPONENTQ2

CORRELATION DIMENSIONQ2

RECONSTRUCTION PHASE SPACEQ2

Abstract

The non linear dynamic systems render different behavior which in turn, can be utilized for specifying and expounding of many seemingly random walk economic Phenomena.The chaos theory will provide a new approach for studing the changing trends of non linear dynamic systems in monetary and financial markets. In this paper, an attempt is made to investigate the behavior of official exchange rate, compiled on daily basis, for 2000/06/01-2012/03/07. Further, we applied the various chaos theory tests, comprising the Brock Dechert and Shienkman (BDS Test), which itself, is based on the Bootstrap, HURST EXPONENT Test, CORRELATION DIMENSION Test, LARGEST LYAPUNOV EXPONENT Test and RECONSTRUCTION PHASE SPACE Test, for reconstructive dynamics of augmented vectors bearing 1 to 11 dimensions, Viz-a-Viz. Takens Theorem. However the results for BDS and HURST EXPONENT Tests indicate prima facie, that the exchange rate is endowed with a non linear process. Similarly three chaotic tests of Largest Lyapanov Exponent, CORRELATION DIMENSION and RECONSTRUCTION PHASE SPACE, could verify per se the existence of chaos in the foreign exchange market of Iran. Thus we conclude that the prediction of changing trend of this variable by using the convensional linear model may lead to spurious results, quid pro qua.

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APA: Copy

SHAHIKI TASH, MOHAMMADNABI, DINARZAHI, KHADIJEH, & DEJKAM, ARSALAN. (2014). THE ANALYSIS OF NON LINEAR AND CHAOTIC BEHAVIOR OF FOREIGN EXCHANGE MARKET IN IRAN. TREND (TREND OF ECONOMIC RESEARCH), 20(63-64), 39-57. SID. https://sid.ir/paper/202216/en

Vancouver: Copy

SHAHIKI TASH MOHAMMADNABI, DINARZAHI KHADIJEH, DEJKAM ARSALAN. THE ANALYSIS OF NON LINEAR AND CHAOTIC BEHAVIOR OF FOREIGN EXCHANGE MARKET IN IRAN. TREND (TREND OF ECONOMIC RESEARCH)[Internet]. 2014;20(63-64):39-57. Available from: https://sid.ir/paper/202216/en

IEEE: Copy

MOHAMMADNABI SHAHIKI TASH, KHADIJEH DINARZAHI, and ARSALAN DEJKAM, “THE ANALYSIS OF NON LINEAR AND CHAOTIC BEHAVIOR OF FOREIGN EXCHANGE MARKET IN IRAN,” TREND (TREND OF ECONOMIC RESEARCH), vol. 20, no. 63-64, pp. 39–57, 2014, [Online]. Available: https://sid.ir/paper/202216/en

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