Fractal Structures and Naive Trading Systems : Evidence from The Spot US Dollar / Japanese Yen  

Oleh:

Batten, Jonathan ; Ellis, Craig

Jenis: Article from Bulletin/Magazine
Dalam koleksi: JAPAN AND THE WORLD ECONOMY vol. 8 no. 4 (1996), page 411-422.
Topik: trading system; fractal structures; naive trading system; spot US dollar; japanese yen

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ47.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This study investigates whether daily logarithmic returns on the spot US dollar / Japanese yen (USD / Yen) for the period 3 March 1987 to 8 September 1993 displayed an underlying fractal structure. The analysis employed a rescaled range (R / S) technique, and revealed USD / Yen persistence which favoured continued depreciation of the USD. The results suggest the presence of time or memory effects in the currency. These effects were arbitrageable by speculators who by holding long Yen positions were able to earn positive returns.

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