Bulletin of the American Physical Society
APS March Meeting 2022
Volume 67, Number 3
Monday–Friday, March 14–18, 2022; Chicago
Session Y08: Chaos and Nonlinear Dynamics II
8:00 AM–10:12 AM,
Friday, March 18, 2022
Room: McCormick Place W-179B
Sponsoring
Unit:
GSNP
Chair: Greg Voth, Wesleyan University
Abstract: Y08.00010 : Nonlinear Dynamics of US Inflation, Money Supply, and Growth Time Series
9:48 AM–10:00 AM
Presenter:
Tai Young-Taft
(Bard College at Simon's Rock and Levy Economics Institute)
Authors:
Tai Young-Taft
(Bard College at Simon's Rock and Levy Economics Institute)
Harold M Hastings
(Bard College at Simon's Rock)
The problem with the bottleneck metaphor is that it implies there is a voluminous fluid in one space which can not reach another space, and while this may explain price dynamics in some markets, the market at large is better conceived of as a network, and the global shock of the pandemic as a significant and multi-level pruning of the market (a sledge hammer to a mycelium network, if you will).
In this paper we consider nonlinear time series analysis with respect to inflation, money supply, and growth in the US, as individual series and in tandem. In particular we consider the maximum characteristic Lyapunov exponent, embedding dimension with principal component analysis, embedding time delay using average mutual information and the minimum sufficient embedding dimension using the false nearest neighbour method, effects of the Theiler window using space-time separation plots, thresholded and unthresholded recurrence plots, and recurrence quantification analysis.
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