Testing for dynamics in the irregular fluctuations of financial data

Tomomichi Nakamura and Michael Small

Physica A: Statistical Mechanics and its Applications, 2006, vol. 366, issue C, 377-386

Abstract: 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.

Keywords: Econophysics; Financial data; Irregular fluctuations; Price changes surrogate method; Trends (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:366:y:2006:i:c:p:377-386

DOI: 10.1016/j.physa.2005.10.032

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