{"id":"https://openalex.org/W2019913140","doi":"https://doi.org/10.1016/s0169-2070(96)00686-3","title":"Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?","display_name":"Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?","publication_year":1996,"publication_date":"1996-12-01","ids":{"openalex":"https://openalex.org/W2019913140","doi":"https://doi.org/10.1016/s0169-2070(96)00686-3","mag":"2019913140"},"language":"en","primary_location":{"id":"doi:10.1016/s0169-2070(96)00686-3","doi":"https://doi.org/10.1016/s0169-2070(96)00686-3","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s0169-2070(96)00686-3","pdf_url":null,"source":{"id":"https://openalex.org/S39841227","display_name":"International Journal of Forecasting","issn_l":"0169-2070","issn":["0169-2070","1872-8200"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Forecasting","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5112831811","display_name":"A Aydin Cecen","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1629065","display_name":"Central Michigan University","ror":"https://ror.org/02xawj266","country_code":"US","type":"education","lineage":["https://openalex.org/I1629065"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"A.Aydin Cecen","raw_affiliation_strings":["Department of Economics, Central Michigan University, Sloan Hall 307, Mt. Pleasant, MI 48859, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Central Michigan University, Sloan Hall 307, Mt. Pleasant, MI 48859, USA","institution_ids":["https://openalex.org/I1629065"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060042014","display_name":"Cahit Erkal","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I8692664","display_name":"University of Oklahoma","ror":"https://ror.org/02aqsxs83","country_code":"US","type":"education","lineage":["https://openalex.org/I8692664"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Cahit Erkal","raw_affiliation_strings":["Oklahoma School of Science and Mathematics, 1141 N. Lincoln Boulevard, Oklahoma City, OK 773104-2847, USA","University of Oklahoma, Department of Physics, Norman, OK 73069, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Oklahoma School of Science and Mathematics, 1141 N. Lincoln Boulevard, Oklahoma City, OK 773104-2847, USA","institution_ids":[]},{"raw_affiliation_string":"University of Oklahoma, Department of Physics, Norman, OK 73069, USA","institution_ids":["https://openalex.org/I8692664"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5112831811"],"corresponding_institution_ids":["https://openalex.org/I1629065"],"apc_list":{"value":2800,"currency":"USD","value_usd":2800},"apc_paid":null,"fwci":3.9893,"has_fulltext":false,"cited_by_count":53,"citation_normalized_percentile":{"value":0.93662213,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"12","issue":"4","first_page":"465","last_page":"473"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.4318999946117401,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.4318999946117401,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.3905999958515167,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.08389999717473984,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/high-frequency-data","display_name":"high-frequency data","score":0.7670000195503235},{"id":"https://openalex.org/keywords/nonlinear-dependence","display_name":"nonlinear dependence","score":0.8330000042915344},{"id":"https://openalex.org/keywords/correlation-dimension","display_name":"correlation dimension","score":0.6370000243186951},{"id":"https://openalex.org/keywords/low-dimensional-chaos","display_name":"low-dimensional chaos","score":0.859000027179718},{"id":"https://openalex.org/keywords/short-term-forecasting","display_name":"short-term forecasting","score":0.847000002861023},{"id":"https://openalex.org/keywords/pound-sterling","display_name":"British pound","score":0.6119999885559082},{"id":"https://openalex.org/keywords/deutsche-mark","display_name":"Deutsche Mark","score":0.8209999799728394},{"id":"https://openalex.org/keywords/japanese-yen","display_name":"Japanese yen","score":0.9990000128746033},{"id":"https://openalex.org/keywords/swiss-franc","display_name":"Swiss franc","score":0.9990000128746033}],"concepts":[{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.7594196796417236},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7127615809440613},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5418866276741028},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.5380299687385559},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5214954614639282},{"id":"https://openalex.org/C110601934","wikidata":"https://www.wikidata.org/wiki/Q5172849","display_name":"Correlation dimension","level":4,"score":0.4590133726596832},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.45173415541648865},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.44189807772636414},{"id":"https://openalex.org/C163175372","wikidata":"https://www.wikidata.org/wiki/Q3339222","display_name":"Linear model","level":2,"score":0.4122184216976166},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.35134607553482056},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2584211826324463},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C40636538","wikidata":"https://www.wikidata.org/wiki/Q81392","display_name":"Fractal","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C26546657","wikidata":"https://www.wikidata.org/wiki/Q1412452","display_name":"Fractal dimension","level":3,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/s0169-2070(96)00686-3","doi":"https://doi.org/10.1016/s0169-2070(96)00686-3","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s0169-2070(96)00686-3","pdf_url":null,"source":{"id":"https://openalex.org/S39841227","display_name":"International Journal of Forecasting","issn_l":"0169-2070","issn":["0169-2070","1872-8200"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Forecasting","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:intfor:v:12:y:1996:i:4:p:465-473","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0169-2070(96)00686-3","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W566112822","https://openalex.org/W1479857426","https://openalex.org/W1493452535","https://openalex.org/W1507259579","https://openalex.org/W1582187563","https://openalex.org/W1973127032","https://openalex.org/W1976201254","https://openalex.org/W1987203652","https://openalex.org/W1989824032","https://openalex.org/W2008592128","https://openalex.org/W2010187498","https://openalex.org/W2016004282","https://openalex.org/W2029401646","https://openalex.org/W2031716569","https://openalex.org/W2050556524","https://openalex.org/W2051778186","https://openalex.org/W2054034433","https://openalex.org/W2057418282","https://openalex.org/W2058742375","https://openalex.org/W2082179812","https://openalex.org/W2082642328","https://openalex.org/W2091029773","https://openalex.org/W2092617414","https://openalex.org/W2096748467","https://openalex.org/W2141042444","https://openalex.org/W2152254020","https://openalex.org/W2179264759","https://openalex.org/W3124257956","https://openalex.org/W3124263521","https://openalex.org/W3124423801","https://openalex.org/W4242895211","https://openalex.org/W6628801993","https://openalex.org/W6814525269"],"related_works":["https://openalex.org/W2050556524","https://openalex.org/W1965436945","https://openalex.org/W1968359385","https://openalex.org/W2774057269","https://openalex.org/W7055688904","https://openalex.org/W1577369763","https://openalex.org/W68459141","https://openalex.org/W2047338242","https://openalex.org/W2033359034","https://openalex.org/W1498667860"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}