Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/25068
Title: Testing for dynamics in the irregular fluctuations of financial data
Authors: Nakamura, T
Small, M
Keywords: Econophysics
Financial data
Irregular fluctuations
Price changes surrogate method
Trends
Issue Date: 2006
Publisher: Elsevier Science Bv
Source: Physica a : statistical mechanics and its applications, 2006, v. 366, p. 377-386 How to cite?
Journal: Physica A: Statistical Mechanics and its Applications 
Abstract: Price changes in financial data fluctuate irregularly or stochastically. This paper investigates whether the irregular fluctuations are random or have some kind of dynamics by applying a recently developed method, the small-shuffle surrogate method. The data used are daily gold price, daily Japanese Yen/US dollar exchange rate and tick-wise data of the Swiss Francs/US dollar exchange rate. The results indicate that irregular fluctuations in these data are not random but have some kind of dynamics.
URI: http://hdl.handle.net/10397/25068
ISSN: 0378-4371
DOI: 10.1016/j.physa.2005.10.032
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