Fractal structure of high-frequency data in the foreign exchange market

研究成果: Article査読

7 被引用数 (Scopus)

抄録

In high-frequency financial data, transactions can occur at varying time intervals. We propose a new method to describe the fractal structure of high frequency data, which are non-equidistant in physical time. Using extreme values determined with a scale, we define functions independent of the time scale. Moreover, we can measure a kind of fractal dimension: the fold dimension. Using these functions, we can analyze non-equidistant data without information losses. In this contribution, we use a high frequency data set on bid and ask prices of the dollar/yen exchange rates.

本文言語English
ページ(範囲)1100-1104
ページ数5
ジャーナルJournal of the Korean Physical Society
40
6
出版ステータスPublished - 2002 6 1
外部発表はい

ASJC Scopus subject areas

  • 物理学および天文学(全般)

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