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The Chaotic Attractor Analysis of DJIA Based on Manifold Embedding and Laplacian Eigenmaps
Joint Authors
Niu, Dongxiao
Song, Xiaohua
Zhang, Yulin
Source
Mathematical Problems in Engineering
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-06-22
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
By using the techniques of Manifold Embedding and Laplacian Eigenmaps, a novel strategy has been proposed in this paper to detect the chaos of Dow Jones Industrial Average.
Firstly, the chaotic attractor of financial time series is assumed to lie on a low-dimensional manifold that is embedded into a high-dimensional Euclidean space.
Then, an improved phase space reconstruction method and a nonlinear dimensionality reduction method are introduced to help reveal the structure of the chaotic attractor.
Next, the empirical study on the financial time series of Dow Jones Industrial Average shows that there exists an attractor which lies on a manifold constructed by the time sequence of Moving average convergence divergence; finally, Determinism Test, Poincaré section, and translation analysis are used as test approaches to prove both whether it is a chaos and how it works.
American Psychological Association (APA)
Song, Xiaohua& Niu, Dongxiao& Zhang, Yulin. 2016. The Chaotic Attractor Analysis of DJIA Based on Manifold Embedding and Laplacian Eigenmaps. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-10.
https://search.emarefa.net/detail/BIM-1112650
Modern Language Association (MLA)
Song, Xiaohua…[et al.]. The Chaotic Attractor Analysis of DJIA Based on Manifold Embedding and Laplacian Eigenmaps. Mathematical Problems in Engineering No. 2016 (2016), pp.1-10.
https://search.emarefa.net/detail/BIM-1112650
American Medical Association (AMA)
Song, Xiaohua& Niu, Dongxiao& Zhang, Yulin. The Chaotic Attractor Analysis of DJIA Based on Manifold Embedding and Laplacian Eigenmaps. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-10.
https://search.emarefa.net/detail/BIM-1112650
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1112650