Testing Chaos and Fractal Properties in Economic Time Series

A search for empirical evidence of chaos and testing fractal and other statistical properties in the framework of time series analysis is carried out as a preparatory step in order to apply these concepts to the data proper of financial markets and deal with the puzzling failure of traditional economic theories. Concepts like correlation dimension and Lyapunov exponents are discussed and simple Mathematica programs are given for their evaluation. Before their application to real economic data, a test on a well-known nonlinear dynamical system, through the correspondent reconstructed phase space and time series, is carried out.