Measuring the Complexity of Currency Markets by Fractal Dimension Analysis

DOI10.1142/S0219024903001955zbMath1079.91061MaRDI QIDQ5696868

Abdol S. Soofi, Andreas Galka

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

complexitysurrogate datacorrelation dimensionexchange rate

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82) Dynamical systems in optimization and economics (37N40)

Related Items (5)

MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY ⋮ Applications of Methods and Algorithms of Nonlinear Dynamics in Economics and Finance ⋮ Dynamics of cluster structure in financial correlation matrix ⋮ Applying correlation dimension to the analysis of the evolution of network structure ⋮ Predicting daily exchange rate with singular spectrum analysis

Cites Work

• Testing for nonlinearity in time series: the method of surrogate data
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• Measuring the strangeness of strange attractors
• Embedology
• PREDICTION AND VOLATILITY OF BLACK MARKET CURRENCIES: EVIDENCE FROM RENMINBI AND RIAL EXCHANGE RATES
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• INVESTIGATING CHAOTIC BEHAVIOR IN ECONOMIC SERIES: THE DELAY TIME IN THE GRASSBERGER–PROCACCIA ALGORITHM
• Nonlinearity tests for time series
• CHARACTERISTIC LYAPUNOV EXPONENTS AND SMOOTH ERGODIC THEORY
• Deterministic Nonperiodic Flow

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