Description 
xvii, 273 pages : illustrations ; 24 cm 
Contents 
1. Introduction to Chaos Theory  2. Examples of Chaotic Systems  3. Fractals  4. What Is Chaos?  2. Exchange Rate Theories  2. "News" Model  3. Structural Models  4. Empirical Testing of Exchange Rate Models  5. Difficulties with the Rational Expectations News Model  3. Simple Chaotic Exchange Rate Model  2. Chaotic Model of the Exchange Rate  3. Models Used by Chartists  4. Experimental Results: Existence of Chaos  5. Empirical Results: an Example  6. Predictions and Information in a Chaotic World  7. On Shortterm Predictability  8. Formal Tests for the Existence of Chaos  9. Additional Characteristics of Chaotic Solutions  10. Deterministic Chaos or Randomness?  11. Exchange Rate Inertia  4. Additional Analysis of Chaos in a Simple Exchange Rate Model  2. Is There Chaos in the Simple Exchange Rate Model?  3. Fractal Basin Boundaries  4. Analysis of the "Jellyfish" Attractor  5. Chaotic Exchange Rate Model with Money  2. Model  3. Simulation Results: Existence of Chaos  4. Model Under a Regime of Interestrate Smoothing  5. Additional Features of the Model with Interestrate Smoothing  6. Some Empirical Tests of the Model  7. Chaos Model with "News"  6. Empirical Methods for Detecting and Describing Chaos  2. Reconstruction of a Strange Attractor in Phase Space  3. Estimating the Fractal Dimension of a Phase Space Reconstruction  4. On the Intrinsic Limits for Dimension Calculations  5. Rescaled Range Analysis or R/S Analysis  7. On Detecting Chaos in Exchange Rate Data  2. Empirical Analysis of Exchange Rates  3. Further Empirical Analysis of Exchange Rate Fluctuations  8. Evidence of Nonlinearities in Foreign Exchange Rates  2. Returns and Nonlinearity  3. Nonparametric Nonlinearity Tests  4. Evidence of Nonlinearities in Foreign Exchange Rates  9. Conclusion 
Summary 
"Exchange Rate Theory presents a novel and elegant theory to explain the excessive variability of foreign exchange rate returns. The theory is novel in the sense that it focuses on interaction between market agents as the primary source of the variability in those speculative prices. It is shown that simple interactions between market participants using different information is sufficient to generate deterministic chaos." "In the first part of this book the authors survey existing exchange rate theories and ask whether these theories are useful in explaining actual exchange rate movements. They demonstrate that the 1970s were characterized by the belief that exchange rates could be understood by an analysis of the fundamentals (inflation rates, interest rates and monetary policy). Subsequently, this belief has all but disappeared but researchers have been content to analyze the statistical properties of exchange rates, abandoning the theory and the models." "The second part of the book uses chaos theory to construct an innovative framework for the understanding of exchange markets. These models, which integrate fundamentalism and chartism, create complex exchange rate movements which appear to be random. These models are used to explain several of the anomalies observed in exchange rate markets and to evaluate the possibility of exchange rate prediction."BOOK JACKET 
Analysis 
Foreign exchange 
Bibliography 
Includes bibliographical references (pages [258]265) and index 
Subject 
Chaotic behavior in systems.


Foreign exchange rates  Econometric models.

Author 
Dewachter, Hans.


Embrechts, Marc.

LC no. 
92025472 
ISBN 
0631180168 (acidfree paper) 
