A fractal analysis of foreign exchange markets

International Advances in Economic Research

Volumn 6, Issue 1, 2000, Pages 33-49

  Mulligan, Robert F ^a  

^a WESTERN CAROLINA UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002195469     PISSN: 10830898     EISSN: 1573966X     Source Type: Journal    
DOI: 10.1007/BF02295750     Document Type: Article

References (47)

1. Anderson, Torben G.; Bollerslev, Tim. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns, "Journal of Finance, 52, 3, July 1997, pp. 975-1005.
2. Barkoulas, John T.; Baum, Christopher F. "Long-Term Dependence in Stock Returns, "Economics Letters, 53, 1996, pp. 253-259
3. -. "Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates, "Journal of Financial Research, 20, 3, Fall 1997a, pp. 355-372
4. -. "Long Memory and Forecasting in Euroyen Deposit Rates," Financial Engineering and the Japanese Markets, 4, 3, 1997b, pp. 189-201.
5. -. "A Reexamination of the Fragility of Evidence from Cointegration-Based Tests of Foreign Exchange Market Efficiency," Applied Financial Economics, 7 , 1997c, pp. 635-643
6. Barkoulas, John T.; Baum, Christopher F.; Oguz, Gurkan S. "Stochastic Long Memory in Traded Goods Prices," Applied Economics Letters, 5, 1998, pp. 135-138
7. Barkoulas, John T.; Labys, Walter C; Onochie, Joseph. "Fractional Dynamics in International Commodity Prices," Journal of Futures Markets, 17, 2, 1997, pp. 161-189
8. Barkoulas, John T.; Travlos, Nickolaos. "Chaos in an Emerging Capital Market? The Case of the Athens Stock Exchange," Applied Financial Economics, 8, 1998, pp. 231-243
9. Baum, Christopher F.; Barkoulas, John T. "Time-Varying Risk Premia in the Foreign Currency Futures Basis," Journal of Futures Markets, 16, 7, 1996, pp. 735-755
10. Booth, G. Geoffrey; Kaen, Fred R.; Koveos, Peter E. "R/S Analysis of Foreign Exchange Rates Under Two International Monetary Regimes," Journal of Monetary Economics, 17, 1, December 1982, pp. 407-415
11. Byers, J. D.; Peel, D. A. "Long-Memory Risk Premia in Exchange Rates," Manchester School of Economic and Social Studies, 64, 4, December 1996, pp. 421-438
12. Calvet, Laurent; Fisher, Adlai; Mandelbrot, Benoit B. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Paper No. 1165, Yale University, September 1997.
13. Cheung, Yin-Wong. "Long Memory in Foreign Exchange Rates, "Journal of Business and Economic Statistics, 11, 1, January 1993, pp. 69-77.
14. Cheung, Yin-Wong; Lai, Kon S. "Do Gold Market Returns Have Long Memory?," The Financial Review, 28, 2, May 1993, pp. 181-202.
15. Cheung, Yin-Wong; Fung, H.; Lai, Kon S.; Lo, W. "Purchasing Power Parity Under the European Monetary System," Journal of International Money and Finance, 14, 2, 1995, pp. 179-189
16. Chou, W. L.; Shih, Y. C. "Long-Run Purchasing Power Parity and Long-Term Memory: Evidence from Asian Newly Industrialized Countries," Applied Economics Letters, 4, 1997, pp. 575-578
17. Corazza, Marco; Malliaris, A. G.; Nardelli, Carla. "Searching for Fractal Structure in Agricultural Futures Markets," Journal of Futures Markets, 71, 4, 1997, pp. 433-473
18. Davies, R.; Harte, D. "Tests for Hurst Effect," Biometrika, 74, 1987, pp. 95-101.
19. Duan, Jin-Chuan; Jacobs, Kris. "A Simple Long-Memory Equilibrium Interest Rate Model," Economics Letters, 53, 1996, pp. 317-321
20. Fang, H.; Lai, Kon S.; Lai, M. "Fractal Structure in Currency Futures Prices, "Journal of Futures Markets, 14, 1994, pp. 169-181
21. Fischer, Stanley. "Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule," Journal of Political Economy, 85, 1, February 1977, pp. 191-206.
22. Fisher, Adlai;Calvet, Laurent; Mandelbrot, Benoit B. " Multifractalityof Deutschemark/U.S. Dollar Exchange Rates," Cowles Foundation Discussion Paper No. 1166, Yale University, September 1997.
23. Fritsche, Charmaine Pereira; Wallace, Myles. "Forecasting the Exchange Rate PPP versus a Random Walk," Economics Letters, 54, 1997, pp. 69-74.
24. Gazioglu, Saziye. "Influences of Demand Shocks on Exchange Rate Volatility: Imperfect Capital Mobility and Substitutability," Manchester School of Economic and Social Studies, 64, 1, March 1996, pp. 79-95.
25. Greene, M. T.; Fielitz, B. D. "Long-Term Dependence in Common Stock Returns, "Journal of Financial Economics, 5, 1977, pp. 339-349
26. Heiner, Ronald A. "The Origin of Predictable Behavior," American Economic Review, 73, 3, September 1980, pp. 560-595
27. Hurst, H. Edwin. "Long-Term Storage Capacity of Reservoirs," Transactions of the American Society of Civil Engineers, 116, 1951, pp. 770-799
28. Kaen, Fred R.; Rosenman, Robert E. "Predictable Behavior in Financial Markets: Some Evidence in Support of Heiner's Hypothesis, "American Economic Review, 76, 1, March 1986, pp. 212-220
29. Kraemer, Walter; Runde, Ralf. "Chaos and the Compass Rose," Economics Letters, 54, 1997, pp. 113-118
30. Lo, Andrew W. "Long-Term Memory in Stock Market Prices," Econometrica, 59, 3, September 1991, pp. 1279-1313
31. Lo, Andrew W.; MacKinlay, A. Craig. "Stock Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, 1, 1, 1988, pp. 41-66.
32. Mandelbrot, Benoit B. "The Variation of Certain Speculative Prices, "Journal of Business, 36, 3, October 1963, pp. 394-419.
33. -. "A Statistical Methodology for Nonperiodic Cycles: From the Covariance to R/S Analysis," Annals of Economic and Social Measurement, 1, 3, July 1972a, pp. 255-290
34. -. "Possible Refinements of the Lognormal Hypothesis Concerning the Distribution of Energy Dissipation in Intermittent Turbulence," in M. Rosenblatt; C. Van Atta, eds., Statistical Models and Turbulence, New York, NY: Springer Verlag, 1972b.
35. -. "Intermittent Turbulence in Self Similar Cascades: Divergence of High Moments and Dimension of the Carrier, Journal of Fluid Mechanics, 62, 1974.
36. -. "Limit Theorems on the Self-Normalized Range for Weakly and Strongly Dependent Processes," Zeitschrifi fhr Wahrscheinlichkeitstheorie und Verwandte Gebiete, 31, 1975, pp. 271-285
37. -. The Fractal Geometry of Nature, New York, NY: Freeman, 1977.
38. Mandelbrot, Benoit B.; Fisher, Adlai; Calvet, Laurent. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Paper No. 1164, Yale University, September 1997.
39. Mandelbrot, Benoit B.; van Ness, J. W. "Fractional Brownian Motion, Fractional Noises and Application," SIAM Review, 10, 1968, pp. 422-437
40. Mandelbrot, Benoit B.; Wallis, James R. "Robustness of the Rescaled Range R/S in the Measurement of Noncyclic Long-Run Statistical Dependence," Water Resources Research, 5, 4, October 1969, pp. 976-988
41. Mussa, Michael. "The Theory of Exchange Rate Determination," in John F.O. Bilson; Richard C. Marston, eds., Exchange Rate Theory and Practice, Chicago IL: University of Chicago Press, 1984, pp. 13-78.
42. Neely, Christopher; Weller, Paul; Dittmar, Rob. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," Journal of Financial and Quantitative Analysis, 32, 4, December 1997, pp. 405-426
43. Peters, Edgar E. Fractal Market Analysis, New York, NY: Wiley, 1994.
44. -. Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility, 2nd ed., New York, NY: Wiley, 1996.
45. Phelps, Edmund S.; Taylor, John B. "Stabilizing Powers of Monetary Policy Under Rational Expectations," Journal of Political Economy, 85, 1, February 1977, pp. 163-190
46. Samuelson, Paul A. "Paul Cootner's Reconciliation of Economic Law with Chance," in William F. Scharpe; Cathryn M. Cootner, eds., Financial Economics: Essays in Honor of Paul Cootner, Englewood Cliffs NJ: Scott, Foresman and Co., 1982, pp. 101-117
47. Taylor, John B. "Aggregate Dynamics and Staggered Contracts, "Journal of Political Economy, 88, 1, February 1980, pp. 1-23.