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

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

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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.

Item Type: Article
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
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
URI: http://eprints.whiterose.ac.uk/id/eprint/9828

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