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Re: Lyapunov Exp



PureBytes Links

Trading Reference Links

On Thu, 29 Jun 2000 07:28:05 -0400, you wrote:

>Sorry that I didn't get back to you about the Lyapunov stuff.
>
>Go here ... bottom 1/3 of web page. Let it load. This is a long but good
>description as to what it is and why it is important.
>
>http://www.aci.net/kalliste/chaos1.htm
>
Unfortunately, I didn't find there any hints to handle non-stationary
systems (, when responding to unknown external disturbations). So this
is not of much help to look at financial time series, because these in
most cases cannot be seen & handled as "closed system".

>This site describes the "Nonlinear Dynamics Toolbox" program with screen
>shots which is what some of the traders are using. Amazing program.
>
>http://www.physics.gatech.edu/chaos/research/NDTOnline/aboutndt/ndt.htm
>
>Attached is what the DJIA looks like in 3d with an embedding dim of 2 and a
>delay of 1750 using the NDT program.

This one looks a little bit like a "show-program" to me. Imo a much
more powerful WIN program "Dataplore" for non-linear time series
analysis can be found (and downloaded) at http://www.datan.de ,
including also several general statistical and other techniques (e.g.
AR(I)MA(X), wavelets, Fourier,  etc.). Even the demo-version can be
used for serious work on real-world problems.

A more batch-oriented public domain program packet for non-linear time
series analysis can be found at
http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/index.html , which
also contains a rather good documentation of the techniques, at least
to some details.

mfg rudolf stricker
| Disclaimer: The views of this user are strictly his own.