IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v06y2003i06ns0219024903001955.html
   My bibliography  Save this article

Measuring the Complexity of Currency Markets by Fractal Dimension Analysis

Author

Listed:
  • Abdol S. Soofi

    (University of Wisconsin-Platteville, Department of Economics, Platteville WI 53818, USA)

  • Andreas Galka

    (Institute of Experimental and Applied Physics, University of Kiel, Germany;
    Institute of Statistical Mathematics, Department of Prediction and Control, Tokyo, Minato-ku, Minami-Azabu 4-6-7, Japan)

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.

Suggested Citation

  • Abdol S. Soofi & Andreas Galka, 2003. "Measuring the Complexity of Currency Markets by Fractal Dimension Analysis," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 553-563.
    • Handle: RePEc:wsi:ijtafx:v:06:y:2003:i:06:n:s0219024903001955
    DOI: 10.1142/S0219024903001955
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024903001955
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024903001955?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Abdol S. Soofi & Zhe Li & Xiaofeng Hui, 2012. "Nonlinear interdependence of the Chinese stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 397-410, November.
    2. Lai, Lin & Guo, Kun, 2017. "The performance of one belt and one road exchange rate: Based on improved singular spectrum analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 299-308.
    3. Soofi Abdol S, 2008. "Global Financial Integration and the MENA Countries: Evidence from Equity and Money Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 93-116, April.
    4. Nie, Chun-Xiao, 2017. "Correlation dimension of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 632-639.
    5. Nie, Chun-Xiao, 2019. "Applying correlation dimension to the analysis of the evolution of network structure," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 294-303.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:06:y:2003:i:06:n:s0219024903001955. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.