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What is Chaos in Australian Stock Market Analysis about?
The author analyzes the All Ordinaries Share Price Index for evidence of chaotic behavior using the delay-time embedding technique and Lyapunov exponents. Preliminary results indicate chaotic behavior is present based on a correlation dimension between 5-6 from delay-time embedding and a positive largest Lyapunov exponent of 0.038. Future work aims to use higher frequency index data and prediction techniques for chaotic time series.
- Author
- Ranjini Dutta
- Language
- EN