Wei, H.L. and Billings, S.A. (2009) Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method. Physics Letters A, 373 (37). pp. 3324-3329. ISSN 0375-9601
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2009 Elsevier. This is an author produced version of a paper subsequently published in Physics Letters A. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Wavelet transform; Correlation function; Foreign exchange rates; Power law |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Engineering (Sheffield) > Department of Automatic Control and Systems Engineering (Sheffield) |
Depositing User: | Miss Anthea Tucker |
Date Deposited: | 08 Oct 2009 15:11 |
Last Modified: | 08 Feb 2013 16:59 |
Published Version: | http://dx.doi.org/10.1016/j.physleta.2009.07.047 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.physleta.2009.07.047 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:9828 |