Journal of Management Research

Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

An Empirical Study of Long Term Memory in Foreign Exchange Markets


Affiliations
1 Sathyabama University Chennai - 600119, India
2 Department of Mathematics MNM Jain Engineering College Chennai - 600097, India
     

   Subscribe/Renew Journal


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
User
Notifications

  • Barnsley, M. (1988), Fractals Everywhere, Academic Press, Boston, MA.

  • Cheung, Yin-Wong (1993), Long Memory in Foreign Exchange Rates, Journal of Business and Economic Statistics, 11(1): 69-77.

  • Davies, R. B. and Harte, D. S. (1987), Test for Hurst Effect, Biometrica, 74: 95-102.

  • Edgar, E. Peters (1994), Fractal Market Analysis, pp. 189-196, John Wiley and Sons, New York.

  • Edgar, E. Peters (1991), Chaos and Order in Capital Markets, John Wiley and Sons, New York.

  • Edgar, E. Peters (1989), Fractal Structure in the Capital Markets, Financial Analysts Journal, (July-August): 32-37.

  • Hurst, H. E. (1951),The Long Term Storage Capacity of Reservior, Transactions of the Amercian Society of Civil Engineers, 116: 770-799.

  • Lo, A. W. (1991), Long-Term Memory in Stock Market Price, Econometrica, 59(3): 1279-1313.

  • Mandelbrot, B. (1982),The Fractal Geometry of Nature, W. H. Freeman, New York.

  • Mandelbrot, B. (1972), Statistical Methodology for Non-periodic Cycles from the Covariances of R/S Analysis, Annals of Economics and Social measurement.


Abstract Views: 577

PDF Views: 1




  • An Empirical Study of Long Term Memory in Foreign Exchange Markets

Abstract Views: 577  |  PDF Views: 1

Authors

E. Priyadarshini
Sathyabama University Chennai - 600119, India
A. Chandra Babu
Department of Mathematics MNM Jain Engineering College Chennai - 600097, India

Abstract


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

References