Nonlinearities and Chaos: Evidence from Exchange Rates

摘要

Financial researchers have become interested in chaotic time series in the past two decades because many random looking economic and financial time series may be in fact chaotic processes. Low dimensional chaotic processes have been shown to be predictable by appropriate technical tools, at least in the short-run (See Clyde & Osier, Journal of Futures Markets, 1997). We investigate nonlinearities and chaos in the daily bilateral exchange rates of the U.S. dollar against the Canadian dollar, the Swiss franc, and the Japanese yen.