Chaos in Foreign Exchange Markets: A Sceptical View

@article{Brooks1998ChaosIF,
  title={Chaos in Foreign Exchange Markets: A Sceptical View},
  author={C. Brooks},
  journal={Computational Economics},
  year={1998},
  volume={11},
  pages={265-281}
}
  • C. Brooks
  • Published 1998
  • Mathematics
  • Computational Economics
This paper tests directly for deterministic chaos in a set of ten daily Sterling-denominated exchange rates by calculating the largest Lyapunov exponent. Although in an earlier paper, strong evidence of nonlinearity has been shown, chaotic tendencies are noticeably absent from all series considered using this state-of-the-art technique. Doubt is cast on many recent papers which claim to have tested for the presence of chaos in economic data sets, based on what are argued here to be… Expand

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