Fractal Analysis of Forward Exchange Rates1
نویسندگان
چکیده
In this paper we work with nonparametric methods in modeling and analyzing the financial times series. We use the concept of fractal dimension for measuring the complexity of time series of observed financial data. The aim of this paper is to distinguish between the randomness and determinism of the financial information. We will compare the fractal analysis of the selected forward exchange rates. Fractal analysis has been introduced into financial time series by Mandelbrot and Peters. Due to the financial crisis this theory has gained new momentum. Fractal analysis indicates that conventional econometric methods are inadequate for analyzing financial time series. Adequate analysis of the financial time series allows us to predict precisely the future values and risks connected with portfolios that are influenced. We test for fractional dynamic behavior in a 1-month forward exchange rate USD into GBP and Gold Price against USD.
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