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"Aczel, Amir D"
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Using the bootstrap for improved ARIMA model identification
This paper presents a new method of identifying ARIMA time‐series models. We use the bootstrap technique in estimating the distribution of sample autocorrelations both separately and in a simultaneous inference setting. The bootstrap has the advantage of being nonparametric and thus free of reliance on asymptotic normality, which may not hold for short or medium‐size series. The simultaneous procedure is unique, as it has no feasible parametric alternatives. An application to exchange rates illustrates our methodology. In the example chosen, we are able to produce better forecasts using the model identified via the bootstrap technique.
Journal Article
The Chaotic Behavior of Foreign Exchange Rates
This paper explores the use of a measure of chaotic behavior, the correlation dimension, in explaining the unpredictable fluctuations in foreign exchange rates. The resulting calculations indicate that the Singapore dollar has a smaller correlation dimension than four European currencies, consistent with the view that the Singapore dollar is a highly managed currency. We also utilize the correlation dimension to determine the impact of the stock market crash of October 19, 1987 on the five currencies. The four European currencies exhibit a statistically significant decrease in their correlation dimensions, while the Singapore dollar displays no significant change. This is consistent with a hypothesis of a an intervention in the management of the European currencies.
Journal Article
Particles That Flock
In its first six months of operation, the Large Hadron Collider near Geneva has yet to find the Higgs boson, solve the mystery of dark matter or discover hidden dimensions of spacetime. It has, however; uncovered a tantalizing puzzle, one that scientists will take up again when the collider restarts in February following a holiday break. Last summer physicists noticed that some of the particles created by their proton collisions appeared to be synchronizing their flight paths, like flocks of birds.
Magazine Article
