Fractal Dimension of Foreign Exchange Rates : Application of the R/S Analysis to the Weierstrass Function

黒川, 洋行

Publication date

January 2008

Publisher

関東学院大学経済研究所

Abstract

<There has been an argument whether time series data such as foreign exchange rates are the random walk process or not. For example, Fama (1970) has discussed about “efficient capital markets, in which the asset prices can not change, if the market is efficient. However, if not, then there is another possibility that time series data could have fractal nature. The main characters of fractal time series is self-similarity and the scale-invariance of data-sets. In this paper we have tried to estimate the fractal nature of several foreign exchange rates using the rescaled range (R/S) analysis, empirically compared with the random walk process, and to calculate the fractal dimension of these time series data. The results are relevant to our hyp...

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Fractal Dimension of Foreign Exchange Rates : Application of the R/S Analysis to the Weierstrass Function

Abstract

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Fractal Dimension of Foreign Exchange Rates : Application of the R/S Analysis to the Weierstrass Function

Abstract

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