Measuring the Complexity of Currency Markets by Fractal Dimension Analysis
Measuring the Complexity of Currency Markets by Fractal Dimension Analysis
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DOI：
10.1142/s0219024903001955
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发表时间：
2003-09
影响因子：
0.5
通讯作者：
Abdol S. Soofi;A. Galka
中科院分区：
文献类型：
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作者：
Abdol S. Soofi;A. Galka
我们使用非线性动力系统理论通过估计美元/英镑和美元/日元每日汇率(即期汇率)的收益的关联维度来衡量货币市场的复杂性。我们通过将它们与替代时间序列的关联维度估计进行比较来检验结果的显著性，即具有与原始数据相同的功率谱和幅度分布的随机线性时间序列。我们在美元/英镑每日汇率的收益中发现了明显的非线性结构。
We use the theory of nonlinear dynamical systems to measure the complexity of currency markets by estimating the correlation dimension of the returns of the Dollar/Pound and Dollar/Yen daily exchange rates (the spot rates). We test the significance of the results by comparing them to correlation dimension estimates for surrogate time series, i.e. stochastic linear time series with the same power spectrum and amplitude distribution as given by the original data. We find discernible nonlinear structure in the returns of the Dollar/Pound daily rate.