A TEST FOR CHAOS IN FUTURES OIL MARKET

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ABRISHAMI H.; MOEIN A.; AHRARI M.

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Journal: Iranian Journal of Economic Research Year:2002 | Volume:3 | Issue:10 Page(s): 105-123

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Information Journal Paper

Title

A TEST FOR CHAOS IN FUTURES OIL MARKET

Author(s)

ABRISHAMI H. | MOEIN A. | AHRARI M. | Issue Writer Certificate

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Abstract

In recent years, the theories of nonlinear systems in general and chaotic systems in particular have received a great deal of attention in the economic research.Based on the assumption that at least part of the underling process is nonlinear, chaos analysis evaluates whether that process in deterministic.In this research, first by applying Correlation Dimension (CD) and Largest Lyapunov Exponent (LLE), the evidence of chaos in oil future prices (1996-99) appeared to be true. Then the logestic map is explained and finally the Largest Lyapunov Exponent (LLE) estimate of the first sectiona is compared with the calculated LLE under the logistic function.

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APA: Copy

ABRISHAMI, H., MOEIN, A., & AHRARI, M.. (2002). A TEST FOR CHAOS IN FUTURES OIL MARKET. IRANIAN ECONOMIC RESEARCH, 3(10), 105-123. SID. https://sid.ir/paper/2464/en

Vancouver: Copy

ABRISHAMI H., MOEIN A., AHRARI M.. A TEST FOR CHAOS IN FUTURES OIL MARKET. IRANIAN ECONOMIC RESEARCH[Internet]. 2002;3(10):105-123. Available from: https://sid.ir/paper/2464/en

IEEE: Copy

H. ABRISHAMI, A. MOEIN, and M. AHRARI, “A TEST FOR CHAOS IN FUTURES OIL MARKET,” IRANIAN ECONOMIC RESEARCH, vol. 3, no. 10, pp. 105–123, 2002, [Online]. Available: https://sid.ir/paper/2464/en

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