Search results for "Lyapunov exponents"
showing 10 items of 10 documents
Exchange rates expectations and chaotic dynamics: a replication study
2018
Abstract In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: empirical evidence on exchange rates, Economics Letters, 2008). Considering Lyapunov exponent-based tests results, they are not supportive of chaos in exchange rates expectations, although the so-called 0–1 test strongly supports the chaos hypothesis.
The Lyapunov dimension formula for the global attractor of the Lorenz system
2015
The exact Lyapunov dimension formula for the Lorenz system has been analytically obtained first due to G.A.Leonov in 2002 under certain restrictions on parameters, permitting classical values. He used the construction technique of special Lyapunov-type functions developed by him in 1991 year. Later it was shown that the consideration of larger class of Lyapunov-type functions permits proving the validity of this formula for all parameters of the system such that all the equilibria of the system are hyperbolically unstable. In the present work it is proved the validity of the formula for Lyapunov dimension for a wider variety of parameters values, which include all parameters satisfying the …
Dynamics of the Shapovalov mid-size firm model
2020
Forecasting and analyses of the dynamics of financial and economic processes such as deviations of macroeconomic aggregates (GDP, unemployment, and inflation) from their long-term trends, asset markets volatility, etc., are challenging because of the complexity of these processes. Important related research questions include, first, how to determine the qualitative properties of the dynamics of these processes, namely, whether the process is stable, unstable, chaotic (deterministic), or stochastic; and second, how best to estimate its quantitative indicators including dimension, entropy, and correlation characteristics. These questions can be studied both empirically and theoretically. In t…
Study of irregular dynamics in an economic model: attractor localization and Lyapunov exponents
2021
Cyclicity and instability inherent in the economy can manifest themselves in irregular fluctuations, including chaotic ones, which significantly reduces the accuracy of forecasting the dynamics of the economic system in the long run. We focus on an approach, associated with the identification of a deterministic endogenous mechanism of irregular fluctuations in the economy. Using of a mid-size firm model as an example, we demonstrate the use of effective analytical and numerical procedures for calculating the quantitative characteristics of its irregular limiting dynamics based on Lyapunov exponents, such as dimension and entropy. We use an analytical approach for localization of a global at…
Finite-time Lyapunov dimension and hidden attractor of the Rabinovich system
2015
The Rabinovich system, describing the process of interaction between waves in plasma, is considered. It is shown that the Rabinovich system can exhibit a {hidden attractor} in the case of multistability as well as a classical {self-excited attractor}. The hidden attractor in this system can be localized by analytical-numerical methods based on the {continuation} and {perpetual points}. For numerical study of the attractors' dimension the concept of {finite-time Lyapunov dimension} is developed. A conjecture on the Lyapunov dimension of self-excited attractors and the notion of {exact Lyapunov dimension} are discussed. A comparative survey on the computation of the finite-time Lyapunov expon…
Lyapunov dimension formula for the global attractor of the Lorenz system
2016
The exact Lyapunov dimension formula for the Lorenz system for a positive measure set of parameters, including classical values, was analytically obtained first by G.A. Leonov in 2002. Leonov used the construction technique of special Lyapunov-type functions, which was developed by him in 1991 year. Later it was shown that the consideration of larger class of Lyapunov-type functions permits proving the validity of this formula for all parameters, of the system, such that all the equilibria of the system are hyperbolically unstable. In the present work it is proved the validity of the formula for Lyapunov dimension for a wider variety of parameters values including all parameters, which sati…
On lower-bound estimates of the Lyapunov dimension and topological entropy for the Rossler systems
2019
In this paper, on the example of the Rössler systems, the application of the Pyragas time-delay feedback control technique for verification of Eden’s conjecture on the maximum of local Lyapunov dimension, and for the estimation of the topological entropy is demonstrated. To this end, numerical experiments on computation of finite-time local Lyapunov dimensions and finite-time topological entropy on a Rössler attractor and embedded unstable periodic orbits are performed. The problem of reliable numerical computation of the mentioned dimension-like characteristics along the trajectories over large time intervals is discussed. peerReviewed
The Lorenz system : hidden boundary of practical stability and the Lyapunov dimension
2020
On the example of the famous Lorenz system, the difficulties and opportunities of reliable numerical analysis of chaotic dynamical systems are discussed in this article. For the Lorenz system, the boundaries of global stability are estimated and the difficulties of numerically studying the birth of self-excited and hidden attractors, caused by the loss of global stability, are discussed. The problem of reliable numerical computation of the finite-time Lyapunov dimension along the trajectories over large time intervals is discussed. Estimating the Lyapunov dimension of attractors via the Pyragas time-delayed feedback control technique and the Leonov method is demonstrated. Taking into accoun…