Nov
20

## Feedforward Neural Networks and Lyapunov Exponents Estimation

This program, NETLE.EXE, estimates feedforward neural network models and computes Lyapunov exponents (LE). Neural networks are estimated by the method of nonlinear least squares (NLS) (Kuan and Liu (1995)); Lyapunov exponents are calculated from the derivative matrices of estimated network models (Gencay and Dechert (1992)). Note that a positive Lyapunov exponent indicates that the underlying series is chaotic.

REFERENCES:

Kuan, Chung-Ming and Tung Liu (1995). "Forecasting exchange rates using feedforward and recurrent networks", Journal of Applied Econometrics, forthcoming.

Gencay, Ramazan and W. D. Dechert (1992). "An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system", Physica D, 59, 142-157.

http://www.sfu.ca/~rgencay/lyap.html

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REFERENCES:

Kuan, Chung-Ming and Tung Liu (1995). "Forecasting exchange rates using feedforward and recurrent networks", Journal of Applied Econometrics, forthcoming.

Gencay, Ramazan and W. D. Dechert (1992). "An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system", Physica D, 59, 142-157.

http://www.sfu.ca/~rgencay/lyap.html

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