Nonlinear Chaotic Analysis of USD/TRY and EUR/TRY Exchange Rates

Abstract

In this work USD/TRY and EUR/TRY Exchange rates are analyzed with nonlinear and chaotic time series analysis methods. In this work to detect chaos methods such as correlation dimension, Lyapunov exponent and surrogate data testing are utilized and obtained evidence for chaos in these exchange rates. Additionally, by utilizing recurrence quantification analysis (RQA) and cross utilizing recurrence quantification analysis (CRQA) it is demonstrated how chaotic properties of the exchange rates are change through time. In this study, it has been shown that RQA measures such as determinism, laminarity and entropy exhibited a steady decline after 2014. This decline indicates that the exchange rate market has become more unpredictable, more irregular and more unstable after 2014.

Keywords

• Exchange Rates
• Chaos Theory
• Lyapunov Exponent
• Surrogate Data Testing
• Recurrence Quantification Analysis

DOLAR/TL ve EURO/TL Döviz Kurlarının Doğrusal Olmayan ve Kaotik Analizi

Abstract

Bu çalışmada DOLAR/TL ve EURO/TL döviz kurları doğrusal olmayan ve kaotik zaman serileri analizi yöntemleriyle analiz edilmiştir. Bu çalışmada kaosun tespiti için korelasyon boyutu, Lyapunov katsayısı, vekil veri testi yöntemleri kullanılmış ve DOLAR/TL ve EURO/TL döviz kurlarında kaosun bulunduğuna dair kanıtlar elde edilmiştir. Ayrıca yineleme niceleme analizi (YNA) ve çapraz yineleme niceleme analizi (ÇYNA) yöntemleri kullanılarak döviz kurlarının kaotik özelliklerinin zaman içinde nasıl değiştiği gösterilmiştir. Bu çalışmada 2014 yılından sonra determinizm, laminarite ve entropi gibi YNA ölçütlerinin istikrarlı bir düşüş sergilediği gösterilmiştir. Bu düşüş 2014’ten sonra döviz kuru piyasasının daha öngörülemez, daha düzensiz ve daha kararsız hale geldiğini göstermektedir.

Keywords

• Döviz Kurları
• Kaos Teorisi
• Lyapunov Katsayısı
• Vekil Veri Testi
• Yineleme Niceleme Analizi

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