Evidence of chaos in commodity futures prices
Evidence of chaos in commodity futures prices
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DOI：
10.1002/fut.3990120305
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发表时间：
1992-06
影响因子：
1.9
通讯作者：
Gregory P. DeCoster;W. Labys;D. W. Mitchell
中科院分区：
文献类型：
--
作者：
Gregory P. DeCoster;W. Labys;D. W. Mitchell
研究了利用关联维技术来寻找商品期货价格中的混沌结构。非线性结构的证据；风险厌恶主体从事套期保值行为的识别；市场假说的有效性评估。
Examines the use of the correlation dimension technique to search for chaotic structure in commodity futures prices. Evidence of nonlinear structure; Identification of risk-averse agents to engage in hedging behavior; Assessment of the efficiency of market hypothesis.