Driven IFS and Financial Cartoons

Exercises

1 Use driven IFS to analyze the dollar-Deutschmark exchange rate.
(a) Plot the IFS driven by the time series using equal size bins. Do you get a backwards Z?
(b) Use equal weight bins. Does this remove the backwards Z?
Answers
2 (a) Analyze the one-step difference using equal-size bins.
(b) Analyze the one-step difference using equal-weight bins.
Answers
3 (a) Analyze the one-step difference using zero-centered bins, with B1 and B3 one-half the maximum distance from B2 = 0.
(b) Repeat with B1 and B3 one-quarter the maximum distance from B2 = 0.
Answers
4. Try a similar experiment with one of the other financial data samples, and the affine cartoon data samples.
Adjust the bin boundaries of both to get a good match.
What can you learn about the data from looking at the cartoon IFS?
Does this approach have any predictive power?

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