Fractal structure of high-frequency data in the foreign exchange market

Journal of the Korean Physical Society

Volumn 40, Issue 6, 2002, Pages 1100-1104

  Kumagai, Yoshiaki ^a  

^a KEIO UNIVERSITY   (Japan)

Author keywords

Econophysics; Stock market

Indexed keywords

EID: 0035998243     PISSN: 03744884     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Conference Paper

References (8)

1. P.K. Clark, Econometrica 41, 135 (1973).
2. Y. Kumagai, Mita Business Rev. 42, 71 (1999) (in Japanese).
3. Y. Kumagai, in Empirical Science of Financial Fluctuations, edited by H. Takayasu (Springer-Verlag, Tokyo, 2001).
4. T. Higuchi, Physica D 31, 277 (1988).
5. Y. Kumagai, Fractals 10, 13 (2002).
6. Y. Hashimoto, in Proceedings of the Conference of the Japanese Association of Financial Econometics and Engineering 2001 (Tokyo, July, 2001), p. 267.
7. Y. Kumagai, in Proceedings of the Conference of the Japanese Association of Financial Econometics and Engineering 2001 (Tokyo, July, 2001), p. 248.
8. A. Sato, in Proceedings of the Japanese Association of Financial Econometics and Engineering 2001 (Tokyo, July, 2001), p. 240.