63

CHAPTER 4
LYAPUNOV EXPONENT

64

4.1

Introduction
Convincing evidence for deterministic chaos has come from a

variety of recent experiments on dissipative nonlinear systems[1-24] ;

therefore , the question of detecting and quantifying chaos has become an
important one . The spectrum of Lyapunov exponents has proven to be
the most useful dynamical diagnostic for chaotic system. Lyapunov
exponents

are

the

average

exponential

rates

of

divergence

or

convergence of nearby orbits in phase space[25-31]. Since nearby orbits

corresponds to nearly identical states, exponential orbital divergence
means that systems whose initial differences is not possible to resolve
will soon behave quite differently and predictive ability will be rapidly
lost. Any system containing atleast one positive Lyapunov exponents is
defined to be chaotic , with the magnitude of the exponent reflecting the
time scale on which system dynamics become unpredictable[32-37].
For systems whose equations of motion are explicitly known there
is a straightforward technique for computing a complete Lyapunov
exponent spectrum. This method cannot be applied directly to experimental
data. A technique is described which for the first time yields estimates of
the non-negative Lyapunov

exponent

from the finite amounts

of

experimental data[38-42].
It is known that a systems behavior is chaotic if its average
Lyapunov exponent is a positive number. In this study, we will describe
the calculation of the Lyapunov exponent from a one dimensional timeseries data . The series x(t0) ,x(t1) ,x(t2),. is leveled as x0 ,x1 ,x2
, For the sake of simplicity, it is assumed, as is usually the case, that
the time intervals between samples can be written as

65

tn t0 = n

(4.1)

where is the time interval between samples . If the system is behaving

chaotically , the divergence of nearby trajectories will manifest itself in
the following way :
If some value is selected from the sequences of xs , say x i , and
then search the sequence for another x value , say , x j , that is close to xj
, then the sequence of differences given by

d1 = x

d0 =

xi

d2 = x j

dn =

xi
xi

xi

(4.2)

is assumed to increase exponentially, at least on the average, as n

increases. More formally, it is assumed that

dn = d0en

(4.3)

or , after taking logarithms

1
n

ln

dn
d0

(4.4)

In practice, we take eq.(4) as the definition of the Lyapunov exponent

. If is positive, the behavior is chaotic.
In this method of finding , the location of two nearby trajectory
points in state space is considered and then following the differences

66

between the two trajectories that follow each of these initial points the
divergence is determined. Consider two points in a space, x0 and x0 + x0 ,
each of which will generate an orbit in that space using some equation or
system of equations. These orbits can be thought of as parametric functions of
a variable that is something like time. If one of the orbits is considered as a
reference orbit, then the separation between the two orbits will also be a
function of time. Because sensitive dependence can arise only in some portions
of a system, this separation is also a function of the location of the initial value
and has the form x (x0, t). In a system with attracting fixed points or
attracting periodic points, x(x0, t) diminishes asymptotically with time. If a
system is unstable, like pins balanced on their points, then the orbits diverge
exponentially for a while, but eventually settle down. For chaotic points, the
function x(x0, t) will behave erratically.
It is thus useful to study the mean exponential rate of divergence of two
initially close orbits using the formula

= Lim
t

x( X 0,t)

ln
X

(4.5)

The number "", called the Lyapunov exponent is useful for

distinguishing among the various types of orbits. It works for discrete as well
as continuous systems. The following cases are possible:
<0:

The orbit attracts to a stable fixed point or stable periodic orbit.

Negative Lyapunov exponents are characteristic of dissipative or nonconservative systems (the damped harmonic oscillator for instance). Such
systems exhibit asymptotic stability; the more negative the exponent, the
greater the stability. Superstable fixed points and superstable periodic points
have a Lyapunov exponent of = . This is something akin to a critically

67

damped oscillator in that the system heads towards its equilibrium point as
quickly as possible.
= 0: The orbit is a neutral fixed point (or an eventually fixed point). A
Lyapunov exponent of zero indicates that the system is in some sort of steady
state mode. A physical system with this exponent is conservative. Such
systems exhibit Lyapunov stability. The orbits in this situation would maintain
a constant separation, like two flecks of dust fixed in place on a rotating
record.
> 0: The orbit is unstable and chaotic. Nearby points, no matter how close,
shall diverge to any arbitrary separation. All neighborhoods in the phase space
will eventually be visited. These points are said to be unstable. For a discrete
system, the orbits will look like snow on a television set. This does not
preclude any organization as a pattern may emerge. A physical example can be
found in Brownian motion. Although the system is deterministic, there is no
order to the orbit that ensues.
The Lyapunov exponent can also be found using the formula
N

= lim
N

dx

log

2
n 1

dx

n 1
n

(4.6)

This number can be calculated to a reasonable degree of accuracy by

choosing a suitably large "N".
As the Lyapunov exponent measures the rate of divergence or
convergence of two nearby initial points of a dynamical system. In other
words, A Lyapunov exponent is a measure of the rate of attraction to and
repulsion from a fixed point in state space. Lyapunov exponent tell us the rate
of divergence of nearby trajectories a key component of chaotic dynamics. It

68

gives the average exponential rate of divergence or convergence of the nearby

orbits in the phase space. Because the presence of a positive Lyapunov
exponent implies the divergence of the nearby trajectories, a system having at
least one positive Lyapunov exponent is often considered to be chaotic.
As linear methods interpret all regular structure in a data set, such as a
dominant frequency, through linear correlations, this means, in brief, that the
intrinsic dynamics of the system are governed by the linear paradigm that
small causes lead to small effects. Since linear equations can only lead to
exponentially decaying (or growing) or (damped) periodically oscillating
solutions, all irregular behavior of the system has to be attributed to some
random external input to the system. But results of chaos theory has proved
that random input is not the only possible source of irregularity in a system's
output: nonlinear, chaotic systems can produce very irregular data with purely
deterministic equations of motion in an autonomous way, i.e., without time
dependent inputs. Of course, a system which has both, nonlinearity and
random input, will most likely produce irregular data as well. Lyapunov
exponent can be used as a diagnostic tool to distinguish chaotic data from a
random one.

4.3

Data Analysis and Results

Lyapunov exponent of index values, P/E values and values of different

indices with its DFA profiles are plotted at different time. Variation in P/E
value of NIFTY(X(0)) from 7th Jan 1999 to 7th sep. 2001 is plotted in fig
(4.1a). The Graph of Lyapunov exponent for P/E value of NIFTY(X(0)) is
plotted in fig (4.1b). The average Lyapunov exponent was found to be -9.715 x
10-3. Graph between for P/E values of NIFTY X(n) and X(n+1) is plotted in fig
(4.1c) . Date was chosen to be 7th Jan.1999 to 7th sep.2001.

69

Variation in P/E value of NIFTY(Y(0)) is plotted in fig (4.2a). Date

was chosen to be 17th Sep. 2001 to 1st Jan.2004. Graph of Lyapunov exponent
for P/E value of NIFTY(Y(0)) is plotted in fig (4.2b). The Average Lyapunov
exponent was found to be -1.25 x 10-3. Graph between P/E value of NIFTY
Y(n) and Y(n+1) is plotted in fig (4.2c).
Variation in P/E value of NIFTY Z(0) is plotted in fig(4.3a). The period
chosen was from 1st Jan.1999 to 15th Dec.2011. Graph of Lyapunov exponent
for P/E value of

NIFTY (Z(0)) is plotted in fig (4.3b). Graph between P/E

value of NIFTY Z(n) and Z(n+1) is plotted in fig (4.3c) for the same period.
Variation in P/E values of NIFTY from 7th Jan.1999 to 9th Feb.2007 is
plotted in fig(4.4a). Fig 4(.4b) shows the Plots of Lyapunov exponents for X(0)
Y(0),Z(0) 7th between Jan.1999 to 9th Feb.2007.
Phase plot between data points x(n) and x(n+1) for NIKKEI volume is
shown in fig(4.5a). Date was chosen to be 21st Jul.2009 to 30th Dec.2011. Plot
between number of data points n and data points X(n) for NIKKI(volume) is
shown in fig(4.5b). Date was chosen to be 21st Jul.2009 to 30th Dec.2011. Plot
of Lyapunov exponent for NIKKI(volume) is shown in fig(4.5c). The Average
Lyapunov exponent was found to

be

2.8*10 -3. Date was chosen to be 21st

Jul.2009 to 30th Dec.2011. DFA Plot for NIKKI volume is shown in fig (4.5d).
The scaling Exponent was found to be 0.962.
Plot between data points x(n) and x(n+1) for NIKKI (Adjusted Closing
value) is shown in fig(4.6a). Date was chosen to be from 21st Jul.2009 to 30th
Dec.2011. Plot between number of data points n and data points X(n) for
NIKKI(Adjusted volume) is shown in fig(4.6b) for the same period. Figure
(4.6c) shows the Plot of Lyapunov exponent for NIKKEI Adjusted Closing
value. Average Lyapunov exponent is calculated to be -0.0104*10-3. Fig (4.6d)
shows the DFA profile of NIKKEI closing value The scaling Exponent was
found to be 1.385.

70

Figure 4.7a shows the Plot of TWII Adjusted Closing values Y(n) and
Y(n+1) during the period from to 8th Dec.2009 1st Mar.2012. Fig 4.7b shows
the Plot of TWII Adjusted Closing value. Fig 4.7c is the plot of Lyapunov
Exponent for TWII Adjusted Closing value. Fig 4.7d shows the DFA profile of
TWII closing value.
Plot between data points X(n) and X(n+1) for TWII(volume) is shown
in fig(4.8a). Date was chosen to be 8th Dec.2009 to 1st Mar.2012. Plot of TWII
trading volume is shown in fig(4.8b) . Plot of Lyapunov exponent for
TWII(volume) is shown in fig(4.8c). The Average Lyapunov exponent was
found to be -5.9*10-3. DFA Plot for TWII volume is shown in fig(4.8d). The
scaling Exponent was found to be 1.084.
Plot between data points Y(n) and Y(n+1) for STI adjusted Closing
value is shown in fig(4.9a). Date was chosen to be 1st Mar.2012 to 8th
Jun.2009. Plot of STI adjusted Closing value is shown in fig(4.9b). Plot of
Lyapunov exponent for STI adjusted Closing value is shown in fig(4.9c). DFA
Plot for STI close is shown in fig(4.9d). The scaling Exponent was found to be
1.399.
Plot between data points x(n) and x(n+1) for SEOUL volume is shown
in fig(4.10a). Date was chosen to be 08 th Jun.2009 to 01st Mar 2012. Plot of
SEOUL trading volume is shown in fig(4.10b). Plot of Lyapunov exponent for
SEOUL trading volume is shown in fig(4.10c). The Average Lyapunov
exponent was found to be -1.105*10-3. DFA Plot for SEOUL volume is shown
in fig (4.10d). The scaling exponent was found to be 0.987.
Plot between data points X(n) and X(n+1) for DAX trading volume is
shown in fig(4.11a). Date was chosen to be 9th Apr.2009 to 1st Apr.2012. Plot
of DAX trading volume is shown in fig(4.11b). Plot of Lyapunov exponent for
DAX (volume) is shown in fig(4.11c). The Average Lyapunov exponent was
found to be -1.8*10-3. DFA Plot for DAX volume is shown in figure (4.11d).
The scaling exponent was found to be 0.831.

71

Plot between data points Y(n) and Y(n+1) for DAX adjusted Closing
value is shown in fig(4.12a). Date was chosen to be 9 th Apr.2009 to 1st
Apr.2012. Plot of DAX adjusted Closing value is shown in fig(4.12b). Plot of
Lyapunov exponent for DAX adjusted Closing value is shown in fig(4.12c).
The Average Lyapunov exponent was found to be -0.86*10-3. DFA Plot for
DAX close is shown in fig (4.12d).The scaling exponent was found to be
1.386.
Plot between data points Y(n) and Y(n+1) for DJIA adjusted Closing
value is shown in fig(4.13a) . Date was chosen to be 27 th Mar.2009 to 1st
Mar.2012. Plot of DJIA adjusted Closing value is shown in fig(4.13b. Plot of
Lyapunov exponent for DJIA adjusted Closing value is shown in fig(4.13c).
The average Lyapunov exponent was found to be -9.36*10-3. DFA Plot for
DJIA closing values is shown in fig(4.13d). The scaling exponent was found to
be 1.420.
Plot between data points X(n) and X(n+1) for DJIA (volume) is shown
in fig(4.14a). Date was chosen to be 27th Mar.2009 to 1st Mar.2012. Plot of
DJIA trading volume is shown in fig(4.14b). Plot of Lyapunov exponent for
DJIA (volume) is shown in fig(4.14c). The average Lyapunov exponent was
found to be -16.7*10-3 .
Plot between data points X(n) and X(n+1) for S&P trading volume is
shown in fig(4.15a). Date was chosen to be 27th Mar.2009 to 1st Mar.2012. Plot
of S&P (volume) is shown in fig(4.15b). Plot of Lyapunov exponent for S&P
(volume) is shown in fig(4.15c). The average Lyapunov exponent was found
to be -16.7*10-3 .
Plot between data points Y(n) and Y(n+1) for S&P adjusted Closing
value is shown in fig(4.16a). Date was chosen to be 27 th Mar.2009 to 1st
Mar.2012.Plot of US S&P adjusted Closing value is shown in fig(4.16b). Plot
of Lyapunov exponent for S&P adjusted Closing value is shown in fig (4.16c).
The average Lyapunov exponent was found to be -12.6*10-3.

72

Plot between data points Y(n) and Y(n+1) for NASDAQ adjusted
Closing value is shown in fig(4.17a). Date was chosen to be 29 th Oct.2009 to
1st Mar.2012. Plot of US NASDAQ adjusted Closing value is shown in
fig(4.17b). Plot of Lyapunov exponent for NASDAQ adjusted Closing value is
shown in fig(4.17c). The average Lyapunov exponent was found to be 15.8*10-3. DFA Plot for NASDAQ close is shown in fig(4.17d). The scaling
exponent was found to be 1.389.
Plot between data points X(n) and X(n+1) for NASDAQ trading volume
is shown in fig(4.18a). Date was chosen to be 29 th Oct.2009 to 1st Mar.2012 .
Plot of NASDAQ tradingvolume is shown in fig(4.18b). Plot of Lyapunov
exponent for NASDAQ trading volume is shown in fig(4.18c). The average
Lyapunov exponent was found to be -9.6*10-3. DFA Profile for NASDAQ
volume is shown in fig (4.18d). The scaling exponent was found to be 0.926.

73

30
25
20
x( 0)

15
10
5

t(n)-t(0)

0
0

100

200

300

400

500

600

700

800

[ Fig 4.1a Plot of P/E value of NIFTY { X(0)} from 7th Jan 1999 to 7th sep 2001]

0.2

Lyapunov Exponent

0
0

10

15

20

25

30

35

40

45

50

55

60

65

70

75

80

-0.2
-0.4
-0.6
-0.8
-1
-1.2
t(n)-t(0)

[Fig 4.1b Plot of Lyapunov Exponent for P/E value of NIFTY X(0) from 7th Jan 1999 to
7th sep 2001. ]
[Average Lyapunov Exponent = - 9.715*10-3]

74

31

x(n+1)

26

21

16

11
12

24
x(n)

[Fig 4.1c Plot between x(n+1) and X(n) for P/E value of NIFTY from 7th Jan 1999 to 7th
sep 2001].

25

y(0)

20
15
10
5
0
0

200

400

600

800

t(n)-t(0)

[Fig 4.2a Plot between time and P/E value of NIFTY Y(0) from 17th Sep 2001 to 1st Jan
2004 ]

75

0.5

Lyapunov Exponent

0.4
0.3
0.2
0.1
0
0

40

80

-0.1
-0.2

t(n)-t(0)

[ Fig 4.2b

Plot of Lyapunov Exponent for P/E value of NIFTY Y(0) from 17th Sep 2001
to 1st Jan 2004 ]
[Average Lyapunov Exponent = -1.25*10-3]

25

y(n+1)

20

15

10
11

16

21

26

y(n)

[ Fig 4.2c Plot between Y(n+1) and Y(n) P/E value of NIFTY from 17th Sep 2001 to 1st Jan
2004]

76

25
20

Z(0)

15
10
5
0
0

100

200

300

400

500

600

700

800

t(n)-t(0)

[Fig 4.3a Plot of P/E value of NIFTY Z(0) from 1st Jan 1999 to 15th Dec 2011 ]

0.2
0.1
0
-0.1 0

40

80

Lyapunov Exponent

-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
-0.8
-0.9
t(n)-t(0)

[ Fig 4.3b Plot of Lyapunov exponent for P/E value of NIFTY Z(0) from 1st Jan 1999 to
15th Dec 2011].
[Average lyapunov Exponent = -6.79*10-3]

77

25
23
21
19
z(n+1)

17
15
13
11
11

13

15

17

19

21

23

25

z(n)

[Fig 4.3c Plot between Z(n+1) and Z(n) P/E value of NIFTY 1st Jan 1999 to 15th Dec 2011]

30

x(0),y(0),z(0)

25
20

x0

15

y0

10

Z0

5
0
0

200

400
t(n)-t(0)

600

800

[Fig 4.4a Combined Plot of x(0),y(0),z(0). In graph Blue line indicate the variation of data
point X(0) , Red line indicate the variation of data point Y(0) ,Green line indicate the
variation of data point Z(0)]
Average Lyapunov exponent for x(0) = - 9.715*10-3.
Average Lyapunov exponent for y(0) = -1.25*10-3
Average Lyapunov exponent for z(0) = -6.79*10-3.

78

0.6

0.4

0.2

Lyapunov Exponent

0
0

40

80
lyp for x0

-0.2

lyp for y0
lyp for z0

-0.4

-0.6

-0.8

-1

-1.2
t(n)-t(0)

[ Fig 4.4b Plot between time and Lyapunov exponent for X(0) Y(0),Z(0) 7th Jan 1999 to 9th
Feb 2007].
[Average Lyapunov exponent for X(0) = - 9.715*10-3.
Average Lyapunov exponent for Y(0) = -1.25*10-3
Average Lyapunov exponent for Z(0) = -6.79*10-3]

79

450000
400000
350000

X(n+1)

300000
250000
200000
150000
100000
50000
0
-100000 -50000 0

100000

200000

300000

400000

500000

X(n)

[Fig 4.5a Plot between X(n) and X(n+1) for NIKKEI (volume) 21st Jul 2009 to30th Dec
2011 ]

450000
400000
350000

X(n)

300000
250000
200000
150000
100000
50000
0
-50000 0

100

200

300

400

500

600

700

[Fig 4.5b Plot of NIKKEI (volume) from 21st Jul 2009 to 30th Dec 2011 ].

80

0.4
0.3

Lyapunov Exponent

0.2
0.1
0
-0.1

-0.2
-0.3
-0.4

t(n)-t(0)

[ Fig 4.5c Plot of Lyapunov Exponent for Nikkei (volume) from 21st Jul 2009 to 30th Dec
2011]
[Average lyapunov Exponent = -2.8*10-3]

5.8
5.6

y = 0.9623x + 3.502

5.4
5.2
5
4.8
4.6
4.4
4.2
4
0.5

1.5

[Fig 4.5d DFA profile of NIKKEI volume]

2.5

81

12000

Adjusted close Y(n+1)

11500
11000
10500
10000
9500
9000
8500
8000
8000

9000

10000
Adjusted close Y(n)

11000

12000

Y(n)

[Fig 4.6a Plot of NIKKEI Ajdusted closing value Y(n) and Y(n+1)]

10000

8000
0

100

200

300
n

400

500

600

700

[Fig 4.6b Plot of NIKKEI Adjusted Closing value Y(n) during 30th 21st Jul 2009 to 30th Dec
2012 ]

82

0.2

lyapunov Exponent

0.1
0
0.1
-0.1
-0.2
-0.3
-0.4
-0.5
t(n)-t(0)

[Fig 4.6c Plot of Lyapunov exponent for NIKKEI Adjusted Closing value ]
[Average Lyapunov exponent = -.0104*10-3]

4.5

y = 1.3855x + 0.9248

3.5

2.5

2
0.5

1.5

[Fig 4.6d DFA profile of NIKKEI closing value]

2.5

83

10000
9500
9000
y(n+1)

8500
8000
7500
7000
6500
6000
6500

7000

7500

8000

8500

9000

9500

10000

[ Fig 4.7a Plot of TWII Adjusted Closing value data point Y(n) and Y(n+1) during the
period from to 8th Dec 2009 1st Mar 2012] .

10000
9500
9000
y(n)

8500
8000
7500
7000
6500
6000
0

100

200

300

400

500

600

700

[Fig 4.7b Plot of TWII Adjusted Closing value Y(n) from 12th Aug.2009 to 1st Mar.2012].

84

0.4

Lyapunov Exponent

0.2
0
-0.2 0.1
-0.4
-0.6
-0.8
-1
-1.2
-1.4
t(n)-t(0)

[Fig 4.7c plot of Lyapunov Exponent for TWII Adjusted Closing value]
[Average lyapunov Exponent = -9.8*10-3]

4
y = 1.4032x + 0.7589
3.5

2.5

1.5
0.5

1.5

[Fig 4.7d DFA profile of TWII closing value]

2.5

85

8000000
7000000
6000000
x(n+1)

5000000
4000000
3000000
2000000
1000000
0
0

2000000

4000000

6000000

8000000

x(n)

[ Fig 4.8a Plot between TWII(volume) data point X(n) and X(n+1) from 8th Dec 2009 to 1st
Mar 2012]

8000000
7000000
6000000

x(n)

5000000
4000000
3000000
2000000
1000000
0
0

100

200

300

400

500

600

700

[Fig 4.8b Plot of TWII trading volume from from 8th Dec 2009 to 1st Mar 2012].

86

0.2

Lyapunov Exponent

0.1
0
0.1

20.1

40.1

60.1

-0.1
-0.2
-0.3
-0.4
t(n)-t(0)

[Fig 4.8c Plot of Lyapunov exponent of TWII trading volume]

[Average Lyapunov exponent = -5.8*10-3]

7.5

y = 1.0842x + 4.6424

6.5

5.5

5
0.5

0.7

0.9

1.1

1.3

1.5

1.7

[Fig 4.8d DFA profile of TWII volume]

1.9

2.1

2.3

87

3400

y(n+1)

3200
3000
2800
2600
2400
2500

2700

2900

3100

3300

3500

STI data points y(n)

Y(n)

[Fig 4.9a Plot between STI Adjusted Closing value Y(n) and Y(n+1) from 8th Dec 2009 to
1st Mar 2012].

3000

2500
0

100

200

300

400

500

600

700

[Fig 4.9b Plot of STI Adjusted Closing value from 8th Dec 2009 to 1st Mar 2012].

88

0.1

Lyapunov Exponent

0
-0.1

0.1

10.1

20.1

30.1

40.1

50.1

60.1

70.1

-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
t(n)-t(0)

[Fig 4.9c Plot of Lyapunov exponent for STI Adjusted Closing]

[Average Lyapunov exponent = -9.8*10-3]

3.5
y = 1.3999x + 0.25
3

2.5

1.5

1
0.5

0.7

0.9

1.1

1.3

1.5

1.7

1.9

[Fig 4.9d DFA profile of STI closing value]

2.1

2.3

89

800000
700000
600000
X(n+1)

500000
400000
300000
200000
100000
0
0

100000 200000 300000 400000 500000 600000 700000 800000

X(n)

[ Fig 4.10a Plot of SEOUL closing values X(n) and X(n+1) from 8th Dec 2009 to 1st Mar
2012]

800000
700000
600000

X(n)

500000
400000

Volume x(n)

300000
200000
100000
0
0

[Fig 4.10b

100

200

n 300

400

500

600

700

Plot of SEOUL volume from 8th Dec 2009 to 1st Mar 2012]

90

0.2
0
Lyapunov Exponent

0.1
-0.2
-0.4
-0.6
-0.8
-1

t(n)-t(0)

[Fig 4.10c Plot of Lyapunov exponent for SEOUL trading volume]

[Average Lyapunov exponent = -11.05*10-3]

6
y = 0.9871x + 3.7506

5.8
5.6
5.4
5.2
5
4.8
4.6
4.4
4.2
4
0.5

0.7

0.9

1.1

1.3

1.5

1.7

1.9

[Fig 4.10d DFA Profile of SEOUL trading volume]

2.1

2.3

91

140000000
120000000

x(n+1)

100000000
80000000
60000000
40000000
20000000
0
0

50000000

100000000

150000000

x(n)

[Fig 4.11a Plot between DAX (volume) data point X(n) and X(n+1) from 8th Dec 2009 to
1st Mar 2012]

140000000
120000000

x(n)

100000000
80000000
60000000
40000000
Volume x(n)

20000000
0
0

100

200

300

400

500

600

700

[Fig 4.11b Plot of DAX trading volume 8th Dec 2009 to 1st Mar 2012]

92

0.7
0.6
Lyapunov Exponent

0.5
0.4
0.3
0.2
0.1
0
-0.1 0.1

10.1

20.1

30.1

40.1

50.1

60.1

70.1

-0.2
-0.3

t(n)-t(0)

[Fig 4.11c Plot of Lyapunov exponent of DAX]

[Average Lyapunov exponent = -1.8*10-3]

8.2
y = 0.8311x + 6.232

8
7.8
7.6
7.4
7.2
7
6.8
6.6
0.5

0.7

0.9

1.1

1.3

1.5

1.7

1.9

[Fig 4.11d DFA profile of DAX trading volume]

2.1

2.3

93

8000
7500

y(n+1)

7000
6500
6000
5500
5000
5000

5500

6000

6500

7000

7500

8000

y(n)

[Fig 4.12a Plot of DAX Adjusted Closing value Y(n) and Y(n+1) from 8th Dec.2009 to 1st
Mar.2012]

8000
7500

y(n)

7000
6500
6000
5500
5000
0

100

200

300

400

500

600

700

[Fig 4.12b Plot OF DAX adjusted Closing value from 8th Dec 2009 to 1st Mar 2012]

94

Lyapunov Exponent

0.8
0.6
0.4
0.2
0
0.1

10.1

20.1

30.1

40.1

50.1

60.1

70.1

-0.2
-0.4
t(n)-t(0)

[ Fig 4.12c Plot of Lyapunov exponent for DAX Adjusted Closing value]
[Average Lyapunov exponent = -8.6*10-4]

4
y = 1.3862x + 0.7638
3.5

2.5

1.5
0.5

0.7

0.9

1.1

1.3

1.5

1.7

1.9

[Fig 4.12d DFA profile of DAX closing values]

2.1

2.3

95

14000
13000

y(n+1)

12000
11000
10000
9000
8000
7000
7500

8500

9500

10500

11500

12500

13500

y(n)

[Fig 4.13a Plot of DJIA Adjusted Closing value Y(n) vs.Y(n+1) from from 8th Dec 2009 to
1st Mar 2012 ]

14000
13500
13000
12500
y(n)

12000
11500
11000
10500
10000
9500
9000
0

100

200

300

400

500

600

700

800

[ Fig 4.13b Plot of DJIA Adjusted Closing value from 8th Dec.2009 to 1st Mar 2012]

96

0.2
0
Lyapunov Exponent

0.1
-0.2
-0.4
-0.6
-0.8
-1
t(n)-t(0)

[Fig 4.13c Lyapunov exponent of DJIA]

[Average Lyapunov exponent = -9.3*10-3]

4.5
4

y = 1.4205x + 0.8294

3.5
3
2.5
2
1.5
0.5

1.5

[Fig 4.13d DFA profile of DJIA]

2.5

97

1.2E+10
1E+10

x(n+1)

8E+09
6E+09
4E+09
2E+09
0
0

5E+09

1E+10

1.5E+10

x(n)

[ Fig 4.14a Plot of DJIA trading volume X(n) and X(n+1) from from 8th Dec 2009 to 1st
Mar 2012]

1.2E+10
1E+10

x(n)

8E+09
6E+09
4E+09
2E+09
0
0

100

200

300

400
n

500

600

700

800

[ Fig 4.14b Plot of DJIA volume from 8th Dec 2009 to 1st Mar 2012]

98

0.5
0

Lyapunov Exponent

0.1

10.1

20.1

30.1

40.1

50.1

60.1

70.1

-0.5
-1
-1.5
-2
-2.5
-3
t(n)-t(0)

[ Fig 4.14c Plot of Lyapunov exponent of DJIA volume]

[Average Lyapunov exponent = -1.67*10-2]

1.2E+10
1E+10

X(n+1)

8E+09
6E+09
4E+09
2E+09
0
0

5E+09
X(n)

1E+10

1.5E+10

[ Fig 4.15a Plot of S&P (volume) X(n) and X(n+1) from from 8th Dec 2009 to 1st Mar
2012]

99

1.2E+10
1E+10

X(n)

8E+09
6E+09
4E+09
2E+09
0
0

100

200

300

400

[ Fig 4.15b Plot of S&P (volume) from 8th Dec 2009 to 1st Mar 2012].

0.5
0
0.1

Lyapunov Exponent

-0.5
-1
-1.5
-2
-2.5
-3
t(n)-t(0)

[ Fig 4.15c Plot of Lyapunov exponent of S&P volume]

[Average Lyapunov exponent = -2.37*10-2]

500

100

y(n+1)

1400

1200

1000
1000

1050

1100

1150

1200

1250

1300

1350

1400

1450

1500

y(n)

Fig 4.16aPlot of S&P Adjusted Closing values Y(n) vs. Y(n+1) from 8th Dec 2009 to 1st
Mar 2012]

y(n)

1400

1200

1000
0

100

200

300

400

500

[ Fig 4.16b Plot of S&P Adjusted Closing value from 8th Dec 2009 to 1st Mar 2012]

101

0.2
0
0.1

y(n)

-0.2
-0.4
-0.6
-0.8
-1
-1.2

tn-t0

[Fig 4.16c Plot of Lyapunov exponent for S&P Adjusted Closing value ]
[Average Lyapunov exponent = 1.26*10-2]

Y(n+1)

3000

2500

2000
2000

3000
Y(n)

[ Fig 4.17a Plot of NASDAQ Adjusted Closing values Y(n) and Y(n+1) from 8th Dec 2009
to 1st Mar 2012]

102

3400
3200

Y(n)

3000
2800
2600
2400
2200
2000
0

n
200

100

300

400

500

600

[ Fig 4.17b Plot of NASDAQ Adjusted Closing value Y(n) from 8th Dec 2009 to 1st Mar
2012]

0.2
0.1

Lyapunov Exponent

0
-0.1 0

20

40

60

80

-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
-0.8
-0.9
t(n)-t(0)

[Fig 4.17c Plot of Lyapunov exponent for NASDAQ adjusted Closing value]
[Average Lyapunov exponent = -15.8*10-3]

103

3.5
y = 1.3893x + 0.3132
3

2.5

1.5

1
0.5

0.7

0.9

1.1

1.3

1.5

1.7

1.9

2.1

2.3

[Fig 4.17d DFA profile for NASDAQ closing values]

5E+09
4.5E+09
4E+09

X(n+1)

3.5E+09
3E+09
2.5E+09
2E+09
1.5E+09
1E+09
500000000
0
0

2E+09

4E+09

6E+09

X(n)

[ Fig 4.18a Plot of NASDAQ volume data points X(n) vs. X(n+1) from from 8th Dec 2009
to 1st Mar 2012].

104

5E+09
4.5E+09
4E+09
3.5E+09
X(n)

3E+09
2.5E+09
2E+09
1.5E+09
1E+09
500000000
0
0

100

200

300
n

400

500

600

[ Fig 4.18b Plot of NASDAQ volume X(n) from 8th Dec 2009 to 1st Mar 2012]

0.2

Lyapunov Exponent

0
-0.2

0.1

-0.4
-0.6
-0.8
-1
-1.2
-1.4
t(n)-t(0)

[ Fig 4.18c Plot of Lyapunov exponent of NASDAQ volume ]

[Average Lyapunov exponent = -9.6*10-3]

105

9.8
9.6

y = 0.9265x + 7.5732

9.4
9.2
9
8.8
8.6
8.4
8.2
8
0.5

0.7

0.9

1.1

1.3

1.5

1.7

1.9

[Fig 4.18d DFA profile for NASDAQ volume]

2.1

2.3

106

4.3

Discussion

Time series data for different indices were studied using Lyapunov
exponent method. The outcome of the study is as follows : The Lyapunov
eExponent for Values of NIKKI trading volume is found to be positive for the
data studied, confirming the presence of chaos for the period under study. It
shows the divergent behavior of trajectory whereas the Lyapunov exponent for
NIKKI Adjusted Closing value is negative for the data studied confirming the
absence of chaos for the period under study. It shows the convergent behavior
of trajectory. The Lyapunov exponent for Values of TWII volume and
Adjusted Closing value is found to be negative for the data studied confirming
the absence of chaos for the period under study showing the convergent
behavior of trajectory. The Lyapunov exponent for STI adjusted Closing value
is found to be negative for the data studied confirming the absence of chaos for
the period under study. It shows the convergent behavior of trajectory. The
Lyapunov exponent for SEOUL trading volume is found to be negative for the
data studied confirming the absence of chaos for the period under study. It
shows the convergent behavior of trajectory. The Lyapunov exponent DAX
volume and adjusted closing values is found to be negative for the data studied
confirming the absence of chaos for the period under study. It shows the
convergent behavior of trajectory. The Lyapunov exponent for DJIA Volume
and Adjusted Closing value is found to be negative for the data studied
confirming the absence of chaos for the period under study. It shows the
convergent behavior of trajectory. The Lyapunov exponent for S&P Volume
and Adjusted Closing value is found to be negative for the data studied
confirming the absence of chaos for the period under study. It shows the
convergent behavior of trajectory. The Lyapunov exponent for NASDAQ
Volume and Adjusted Closing value is found to be negative for the data
studied confirming the absence of chaos for the period under study. It shows
the convergent behavior of trajectory. The Lyapunov exponent for P/E value of
NIFTY is found to be negative for the data studied confirming the absence of
chaos for the period under study. It shows the convergent behavior of
trajectory.

107

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