Is The Foreign Exchange Market Characterised by Nonlinearity?

This is a further study of non linear dynamics, chaos, in a huge, continuous time data set for a foreign exchange spot rate, in this case the Dollar/Swiss Franc rate. Like the earlier study by Vassilicos, this paper uses the Grassberger/Procaccia correlation dimension test, and finds closely similar negative results, with no signs of low dimensional chaos. In addition three further tests are employed, a comparison with pseudorandom numbers, the shuffle diagnostic and the BDS test which give further support to this negative conclusion. 

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