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Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method

By H.L. Wei and S.A. Billings

Abstract

Numerous studies in the literature have shown that the dynamics of many time series including observations in foreign exchange markets exhibit scaling behaviours. A simple new statistical approach, derived from the concept of the continuous wavelet transform correlation function (WTCF), is proposed for the evaluation of power-law properties from observed data. The new method reveals that foreign exchange rates obey power-laws and thus belong to the class of self-similarity processes. (C) 2009 Elsevier B.V. All rights reserved

Publisher: Elsevier
Year: 2009
OAI identifier: oai:eprints.whiterose.ac.uk:9828

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