• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Journal of Business & Economics Research >Source Of The Multifractality In Exchange Markets: Multifractal Detrended Fluctuations Analysis
【24h】

Source Of The Multifractality In Exchange Markets: Multifractal Detrended Fluctuations Analysis

机译：外汇市场中多重分形的来源：多重分形趋势波动分析

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

In this study, we analyzed the multifractality and the source of multifractality of the returns of GBP/USD, EUR/USD, USD/JPY and USD/CHF currencies. In the examination of multifractality we performed the Multifractal Detrended Fluctuation Analysis (MF-DFA). Also, we used shuffled and surrogated data that was derived from the Statically Transformed Autoregressive Process (STAP) method to determine the source of multifractality. According to the results, GBP/USD returns have monofractal features, whereas EUR/USD, USD/JPY and USD/CHF returns have multifractal behaviors. The tests concerning the source of multifractality indicated that the reason of multifractality for EUR/USD and USD/JPY returns is fat-tails of the probability density function of returns, whereas the reason of multifractality of USD/CHF returns are both long memory and fat tails. Also we have seen that there is an ambiguous relationship between the liquidity of the currency market and multifractality.
机译：在这项研究中，我们分析了英镑/美元，欧元/美元，美元/日元和美元/瑞郎货币的收益的多重性和多重性来源。在多重分形的检查中，我们执行了多重分形趋势波动分析（MF-DFA）。另外，我们使用从静态变换自回归过程（STAP）方法得出的经过改组和替代的数据来确定多重分形的来源。根据结果​​，GBP / USD收益具有分形特征，而EUR / USD，USD / JPY和USD / CHF收益具有多重分形行为。关于多重分形来源的检验表明，欧元/美元和美元/日元收益的多重分形的原因是收益概率密度函数的尾巴，而美元/瑞郎收益的多重分形的原因既是长记忆又是肥胖尾巴。我们还看到，货币市场的流动性与多重性之间存在着模糊的关系。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号