Chaotic Dynamics in Gold Price Time Series: A Physics-Based Forecasting Approach
6th International Interdisciplinary Symposium on Chaos and Complex Systems, SCCS 2025, İstanbul, Türkiye, 8 - 10 Mayıs 2025, ss.287-295, (Tam Metin Bildiri)
- Yayın Türü: Bildiri / Tam Metin Bildiri
- Doi Numarası: 10.1007/978-3-032-09101-7_25
- Basıldığı Şehir: İstanbul
- Basıldığı Ülke: Türkiye
- Sayfa Sayıları: ss.287-295
- Anahtar Kelimeler: Chaos theory, Econophysics, Gold price dynamics, Nonlinear time series analysis, Risk management
- İstanbul Kültür Üniversitesi Adresli: Evet
Özet
The study presented hereby analyzes the evolution of the price of gold (in USD per ounce) from 1995 to 2025. The performed study utilizes established methods originating from nonlinear dynamics and chaos theory, extending previous work. The time series is partitioned into four distinct segments to investigate and assess the persistence of chaotic behavior across temporal different regimes. Chaos is quantified through the calculation of the embedding dimension, the fractal dimension, and Lyapunov exponents, confirming an underlying deterministic nonlinearity in all segments. The results indicate that gold prices exhibit low-dimensional chaos. Notably, the underlying dynamical structure remains stable despite significant shifts in the global financial environment, suggesting that the fundamental drivers of gold’s price movements are governed by a consistent set of variables. Based on these findings, we implement a forecasting model leveraging phase-space reconstruction to predict near-future price trends, demonstrating the practical applicability of chaos-theoretic approaches in commodity market. Our results advocate for the integration of nonlinear dynamical systems theory into financial risk management frameworks, particularly for assets exhibiting chaotic behavior.