상세정보

CONTENTS
List of Tables = ⅷ
List of Figures = ⅹ
Preface = xvi
1 Introduction to Chaos Theory = 1
 1 Introduction = 1
 2 Examples of Chaotic Systems = 2
 3 Fractals = 17
 4 What Is Chaos? = 33
2 Exchange Rate Theories = 56
 1 Introduction = 56
 2 The "News" Model = 56
 3 Structural Models = 59
 4 Empirical Testing of Exchange Rate Models = 63
 5 Difficulties with the Rational Expectations News Model = 68
 6 Conclusion = 71
3 A Simple Chaotic Exchange Rate Model = 72
 1 Introduction = 72
 2 A Chaotic Model of the Exchange Rate = 72
 3 Models Used by Chartists = 78
 4 Experimental Results: Existence of Chaos = 81
 5 Empirical Results: an Example = 83
 6 Predictions and Information in a Chaotic World = 87
 7 On Short-term Predictability = 92
 8 Formal Tests for the Existence of Chaos = 93
 9 Additional Characteristics of Chaotic Solutions = 96
 10 Deterministic Chaos or Randomness? = 100
 11 Exchange Rate Inertia = 105
 12 Conclusion = 108
4 Additional Analysis of Chaos in a Simple Exchange Rate Model = 110
 1 Introduction = 110
 2 Is There Chaos in the Simple Exchange Rate Model? = 111
 3 Fractal Basin Boundaries = 117
 4 Analysis of the "Jellyfish" Attractor = 120
 5 Conclusion = 126
5 A Chaotic Exchange Rate Model with Money = 127
 1 Introduction = 127
 2 The Model = 127
 3 Simulation Results: Existence of Chaos = 132
 4 The Model Under a Regime of Interest-rate Smoothing = 137
 5 Additional Features of the Model with Interest-rate Smoothing = 146
 6 Some Empirical Tests of the Model = 149
 7 The Chaos Model with "News" = 156
 8 Conclusion = 163
6 Empirical Methods for Detecting and Describing Chaos = 165
 1 Introduction = 165
 2 Reconstruction of a Strange Attractor in Phase Space = 166
 3 Estimating the Fractal Dimension of a Phase Space Reconstruction = 175
 4 On the Intrinsic Limits for Dimension Calculations = 191
 5 Rescaled Range Analysis or R/S Analysis = 206
 6 Conclusion = 215
7 On Detecting Chaos in Exchange Rate Data = 216
 1 Introduction = 216
 2 Empirical Analysis of Exchange Rates = 216
 3 Further Empirical Analysis of Exchange Rate Fluctuations = 229
 4 Conclusion = 242
8 Evidence of Nonlinearities in Foreign Exchange Rates = 244
 1 Introduction = 244
 2 Returns and Nonlinearity = 244
 3 Non-parametric Nonlinearity Tests = 245
 4 Evidence of Nonlinearities in Foreign Exchange Rates = 249
 5 Conclusion = 254
9 Conclusion = 256
References = 258
Index = 266