Abstract
An approach to detect sharp changes in economical systems was developed in this paper. We will give brief introduction in current methods of prediction of nonlinear and chaotic time-series and give definition of local Lyapunov exponents (LLE). Then author’s approach will be described. Also some numerical results and discussions will be given.
Highlights
The problem of forecasting in economics has wide range of sources in literature, which proposes variety of methods
There are some issues, which would be taken in account, when one wants to apply any method to real economical data: 1. Any economical process driving by many of deterministic and stochastic forces and strictly deterministic so as strictly probabilistic approach is irrelevant
All forecasts of future based on past history, but if dramatic change occurs in dynamics – our forecast would be incorrect at least
Summary
The problem of forecasting in economics has wide range of sources in literature, which proposes variety of methods. There are some issues, which would be taken in account, when one wants to apply any method to real economical data: 1. 4. Economical processes are intrinsically nonstationary, and we must be very careful with interpretation of our results. Changes in economical environment occur every day – some of them is very sharp and unpredictable. All forecasts of future based on past history, but if dramatic change occurs in dynamics – our forecast would be incorrect at least.
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