Among analysts, technical trading rules are widely used for forecasting security returns. Recent literature provides evidence that these rules may provide positive profits after accounting for transaction costs. This would be contrary to the theory of the efficient market hypothesis which states...

The method of reconstructing an n-dimensional system from observations is to form vectors of m consecutive observations, which for m 2n, is generically an embedding. This is Takens's result. The Jacobian methods for Lyapunov exponents utilize a function of m variables to model the data, and the...