haku: @indexterm forecasting techniques / yhteensä: 246
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| Tekijä: | Darbellay, G. Finardi, M. |
| Otsikko: | Could nonlinear dynamics contribute to intra-day risk management? |
| Lehti: | European Journal of Finance
1997 : DEC, VOL. 3:4, p. 311-324 |
| Asiasana: | RISK MANAGEMENT DYNAMIC MODELS CHAOS FOREIGN EXCHANGE INTEREST RATES FORECASTING TECHNIQUES |
| Kieli: | eng |
| Tiivistelmä: | This paper studies high frequency time series of foreign exchange and interest rates, by using techniques drawn from the field of nonlinear dynamics, often referrad to as chaos theory. The existence of strange attractors is investigated by applying the nearest-neighbours algorithm for the computation of tractal dimensions to the signals reconstructed with the time-delay embedding technique. The state-space reconstruction allows to test whether, in the course of a business day, forecasts based on this technique could improve the timing of hedge trades, in the foreign exchange and interest rate markets. This approach does not reduce hedging costs. This questions the ability of nonlinear dynamics to be of any practical use in financial risk management. |
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