We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
MULTIFRACTAL BEHAVIORS IN FOREIGN EXCHANGE MARKETS.
- Authors
SOO YONG KIM; GYUCHANG LIM; KI-HO CHANG; KUM LAN KIM; LEE, S. Y.; IN HO PARK; DONG IN LEE; CHEOL-HWAN YOU; KYUNGSIK KIM
- Abstract
A two-phase phenomenon in three financial exchange prices is studied. To understand the underlying mechanism for the formation of market prices, we perform the multifractal analysis and the detrended fluctuation analysis in terms of time series of market prices. We also examine higher order temporal correlations for the market price. Although the multifractal properties of market prices are obtained, it cannot be reproduced the binomial multiplicative process through that was used to understand fully developed turbulence.
- Subjects
MULTIFRACTALS; FOREIGN exchange market; FRACTALS; MARKET prices; TIME series analysis
- Publication
Fractals, 2009, Vol 17, Issue 1, p15
- ISSN
0218-348X
- Publication type
Article
- DOI
10.1142/S0218348X0900420X