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W. D. Dechert, “Testing Time Series for Nonlinearities: The BDS Approach,” In: W. A. Kirman,et al., Eds. Non- linear Dynamics and Economics: Proceedings of the 10th International Symposium in Economic Theory and Eco- nometrics, Cambridge University Press, Cambridge, 1996

has been cited by the following article:

• TITLE: The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data

  AUTHORS: Heather Mitchell, Michael McKenzie

  KEYWORDS: Compass Rose, Tick/Volatility Ratio, BDS test, Close Returns Test

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.1, June 1, 2011

  ABSTRACT: The discrete nature of financial markets time-series data may prejudice the BDS and Close Returns test for nonlinearity. Our estimation results suggest that a tick/volatility ratio threshold exists, beyond which the test results are biased. Further, tick/volatility ratios that exceed these thresholds are frequently observed in financial markets data, which suggests that the results of the BDS and CR test must be interpreted with caution.