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An Empirical Study of Long Term Memory in Foreign Exchange Markets
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Accuracy in forecasting the foreign exchange rate and predicting the trend correctly is of crucial importance for any future investments. Over the last few decades, the foreign exchange market has experienced unprecedented growth. The purpose of this paper is to apply rescaled range analysis to foreign exchange market data in an attempt to establish the presence of long term memory and market cycles. It also identifies the fractal dimension of the market by using rescaled range analysis and an estimated Hurst exponent.
Keywords
Chaos, Fractals, Rescaled Range, Persistence, Foreign Exchange Market
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