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.
|ジャーナル||Journal of the Korean Physical Society|
|出版ステータス||Published - 2002 6 1|
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