Testing for non-linearity in an artificial financial market: a recurrence quantification approach

被引：15

作者：

Belaire-Franch, J ^{[1
]}

机构：

[1] Univ Valencia, Fac Econ, Dept Econ Anal, Valencia 46022, Spain

来源：

JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | 2004年 / 54卷 / 04期

关键词：

non-linear dynamics; RQA; bootstrap; artificial financial market;

D O I：

10.1016/j.jebo.2003.05.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, earlier work on testing for non-linear dynamics on realizations from an artificial financial market is extended in two ways. On the one hand, Hinich's bispectral test and White's neural network test are computed. On the other hand, a recently developed methodology to test for hidden structures in data, inherited from Physics, is successfully applied on the realizations of the artificial market. Results among alternative tests are compared. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：483 / 494

页数：12

共 32 条

[1]

[Anonymous], 1997, J ECONOMETRICS

[2]

[Anonymous], SPECIFYING DIAGNOSTI

[3]

Ashley RA, 2000, NONLINEAR TIME SERIE

[4] Assessing nonlinear structures in real exchange rates using recurrence plot strategies [J].

Belaire-Franch, J ;

Contreras, D ;

Tordera-Lledó, L .

PHYSICA D-NONLINEAR PHENOMENA, 2002, 171 (04) :249-264

[5]

Broock WA., 1996, ECONOMET REV, V15, P197, DOI [DOI 10.1080/07474939608800353, DOI 10.1080/2F07474939608800353.NUME]

[6] Testing for non-linear structure in an artificial financial market [J].

Chen, SH ;

Lux, T ;

Marchesi, M .

JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2001, 46 (03) :327-342

[7] On the robustness of nonlinearity tests to moment condition failure [J].

deLima, PJF .

JOURNAL OF ECONOMETRICS, 1997, 76 (1-2) :251-280

[8] LIAPUNOV EXPONENTS FROM TIME-SERIES [J].

ECKMANN, JP ;

KAMPHORST, SO ;

RUELLE, D ;

CILIBERTO, S .

PHYSICAL REVIEW A, 1986, 34 (06) :4971-4979

[9] RECURRENCE PLOTS OF DYNAMIC-SYSTEMS [J].

ECKMANN, JP ;

KAMPHORST, SO ;

RUELLE, D .

EUROPHYSICS LETTERS, 1987, 4 (09) :973-977

[10] A NEW TEST FOR CHAOS [J].

GILMORE, CG .

JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 1993, 22 (02) :209-237

← 1 2 3 4 →