Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142082
Authors: 
Fuwape, Ibiyinka A.
Ogunjo, Samuel T.
Year of Publication: 
2013
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Volume:] 4 [Year:] 2013 [Issue:] 2 [Pages:] 129-140
Abstract: 
This paper investigates chaos in a Nigerian mutual fund, Asset and Resource Management Company Limited (ARM) for a period of eleven years. The existence of chaotic signals in the data was identified by the reconstruction of the phase space of the daily closing price of the fund and the delay time was quantified using mutual information function and the embedding dimension by the false nearest neighbours, where the values were identified to be 15 and 20 respectively. The presence of chaotic signals in the ARM data was further confirmed by the correlation dimension method which yielded a dimension of 2.2 and by the Lyapunov exponent, in which the largest Lyapunov exponent is 0.0528. The predictability of the fund was evaluated from the inverse of the largest Lyapunov exponent as 19 days.
Subjects: 
discovery fund
chaos
time series
lyapunov exponent
correlation dimension
correlation integral
JEL: 
G01
H12
P47
Document Type: 
Article

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