Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?

Determining Lyapunov exponents from a time series

Alan Wolf, J. B. Swift, Harry L. Swinney et al. · Physica D Nonlinear Phenomena · 1985 · 9.4K citations · Full text

Natural Sciences, Physics, Dynamical Systems +13

Measuring the strangeness of strange attractors

Peter Grassberger, Itamar Procaccia · Physica D Nonlinear Phenomena · 1983 · 5.6K citations

Natural Sciences, Mathematics, Physics +12

A test for independence based on the correlation dimension

W. A. Broock, J. A. Scheinkman, W. Davis Dechert et al. · Econometric Reviews · 1996 · 3.5K citations

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Liapunov exponents from time series

Jean‐Pierre Eckmann, Sylvie Oliffson Kamphorst, David Ruelle et al. · Physical review. A, General physics · 1986 · 972 citations

Natural Sciences, Mathematics, Physics +10

The Message in Daily Exchange Rates

Richard T. Baillie, Tim Bollerslev · Journal of Business and Economic Statistics · 2002 · 800 citations

Social Sciences, Economics, Finance +17