MULTIFRACTAL BEHAVIORS IN FOREIGN EXCHANGE MARKETS

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A two-phase phenomenon in three financial exchange prices is studied. To understand the underlying mechanism for the formation of market prices, we perform the multifractal analysis and the detrended fluctuation analysis in terms of time series of market prices. We also examine higher order temporal correlations for the market price. Although the multifractal properties of market prices are obtained, it cannot be reproduced the binomial multiplicative process through that was used to understand fully developed turbulence.
Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
Issue Date
2009-03
Language
English
Article Type
Article
Keywords

FINANCIAL-MARKETS; 2-PHASE PHENOMENA; FLUCTUATIONS; DYNAMICS; MODEL

Citation

FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY, v.17, pp.15 - 21

ISSN
0218-348X
URI
http://hdl.handle.net/10203/100232
Appears in Collection
PH-Journal Papers(저널논문)
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