We investigate the “compass rose” patterns introduced by Crack and Ledoit (J. Finance 51(2)(1996) 751) as revealed in phase portraits (delay plots) of stock returns. The structures observed in these diagrams have been attributed mainly to price clustering and discreteness and the tick size....

Surrogate data analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity,...

In this paper we investigate for the presence of non-stochastic, possibly nonlinear deterministic dynamical cycles in financial time series. Evidence of nonlinear dynamics is revealed in denoised daily stock market index returns for six countries by combining Recurrence Quantification Analysis...

The objective of this paper is to examine causality and feedback relationships between primary commodity prices and US inflation. To this end, the bivariate noisy Mackey–Glass process recently developed by Kyrtsou and Labys [Evidence for chaotic dependence between US inflation and commodity...

In this paper, we analyze the rich dynamic properties of the noisy chaotic model developed by Kyrtsou [C. Kyrtsou, Evidence for neglected linearity in noisy chaotic models, International Journal of Bifurcation and Chaos 15 (10) (2005)] considering homoskedastic errors, with the aim of deriving...