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Fractal structures and naive trading systems: Evidence from the spot US dollar/Japanese yen

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  • Batten, Jonathan
  • Ellis, Craig

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  • Batten, Jonathan & Ellis, Craig, 1996. "Fractal structures and naive trading systems: Evidence from the spot US dollar/Japanese yen," Japan and the World Economy, Elsevier, vol. 8(4), pages 411-421, December.
    • Handle: RePEc:eee:japwor:v:8:y:1996:i:4:p:411-421
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    References listed on IDEAS

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    1. MacDonald, Ronald & Taylor, Mark P, 1989. "Interest Rate Parity: Some New Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 41(4), pages 255-274, October.
    2. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    3. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
    4. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420-420.
    5. Brent W. Ambrose & Esther Ancel & Mark D. Griffiths, 1992. "The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(1), pages 25-54, March.
    6. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    7. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-236, August.
    8. Peter W.B. Phillips, 1992. "Analysis," Challenge, Taylor & Francis Journals, vol. 35(1), pages 57-59, January.
    9. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
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    Cited by:

    1. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2021. "Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    2. Ellis, Craig, 2006. "The mis-specification of the expected rescaled adjusted range," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 469-476.
    3. Corzo Santamaría, Teresa & Martin-Bujack, Karin & Portela, Jose & Sáenz-Diez, Rocio, 2022. "Early market efficiency testing among hydrogen players," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 723-742.
    4. Batten, Jonathan A. & Ellis, Craig & Fetherston, Thomas A., 2005. "Return anomalies on the Nikkei: Are they statistical illusions?," Chaos, Solitons & Fractals, Elsevier, vol. 23(4), pages 1125-1136.
    5. Batten, Jonathan & Ellis, Craig & Fetherston, Thomas A., 2000. "Are long-term return anomalies illusions?: Evidence from the spot Yen," Japan and the World Economy, Elsevier, vol. 12(4), pages 337-349, December.
    6. Batten, Jonathan & Ellis, Craig & Mellor, Robert, 1999. "Scaling laws in variance as a measure of long-term dependence," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 123-138, June.
    7. Kedong YIN & Hengda ZHANG & Wenbo ZHANG & Qian WEI, 2013. "Fractal Analysis of the Gold Market in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-163, October.

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