Testing for dynamics in the irregular fluctuations of financial data

نویسندگان

  • Tomomichi Nakamura
  • Michael Small
چکیده

Price changes in financial data fluctuate irregularly or stochastically. This paper investigates whether the irregular fluctuations are random or have some kind of dynamics by applying a recently developed method, the small-shuffle surrogate method. The data used are daily gold price, daily Japanese Yen/US dollar exchange rate and tick-wise data of the Swiss Francs/US dollar exchange rate. The results indicate that irregular fluctuations in these data are not random but have some kind of dynamics. r 2005 Elsevier B.V. All rights reserved.

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تاریخ انتشار 2006