Chaotic Analysis of Gold Price Index

Abstract

This paper applies non linear methods to analyze the weekly gold prices close index .The aim of the analysis is to quantitatively show if the corresponding time series is a deterministic chaotic one and its predictable. For this purpose the correlation and minimum embedding dimensions of the corresponding strange attractor are calculated. Also the maximum Lyapunov exponent is estimated.

Keywords

• Gold price index
• forecasting
• chaos
• Lyapunov exponent