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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/3731


    Title: 金融市場的非線性動態及財務管理上的應用
    Other Titles: Nonlinear Dynamics in the Financial Markets and Its Application in Financial Management
    Authors: 廖四郎
    Keywords: 非線性動態系統;金融市場;財務管理;渾沌;景氣循環
    Nonlinear dynamic system;Financial market;Financial management;Chaos;Business cycle
    Date: 1999
    Issue Date: 2007-04-18 16:34:53 (UTC+8)
    Publisher: 臺北市:國立政治大學金融系
    Abstract: 本文以符號動態的方法對一個簡單的非線性動態模型做其路徑的數學性分析,描述渾沌現象的幾個基本特性。隨後並以相關維度及Lyapunov exponent兩種方法檢定東南亞五國日匯率,發現這些匯率路徑全部符合渾沌現象。最後並提出一個非線性動態的外匯市場模型來顯示中央銀行對匯市的干預有可能引起匯率的渾沌行為。
    This paper investigates the mathematical properties of a simple nonlinear dynamics which generate chaotic behavior. Using correlation dimension and Lyapunov exponent tests, we found that the foreign exchange rates of the five southeast Asia countries are all exhibiting chaotic behavior. Finally, a model of nonlinear foreign exchange rate dynamics is presented to show the possibility of central bank's intervention in the market may induce chaotic behavior of exchange rates.
    Description: 核定金額:261800元
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

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