Measuring the Complexity of Currency Markets by Fractal Dimension Analysis

Abdol Soofi and Andreas Galka ()
Additional contact information
Andreas Galka: Institute of Experimental and Applied Physics, University of Kiel, Germany;

International Journal of Theoretical and Applied Finance (IJTAF), 2003, vol. 06, issue 06, 553-563

Abstract: We use the theory of nonlinear dynamical systems to measure the complexity of currency markets by estimating the correlation dimension of the returns of the Dollar/Pound and Dollar/Yen daily exchange rates (the spot rates). We test the significance of the results by comparing them to correlation dimension estimates for surrogate time series, i.e. stochastic linear time series with the same power spectrum and amplitude distribution as given by the original data. We find discernible nonlinear structure in the returns of the Dollar/Pound daily rate.

Keywords: Complexity; correlation dimension; exchange rate; surrogate data (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024903001955
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:06:y:2003:i:06:n:s0219024903001955

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024903001955

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().