Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis
Joint Authors
Zhou, Zhongli
Zheng, Peng
Liu, Bin
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-08-23
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
Memory in finance is the foundation of a well-established forecasting model, and new financial theory research shows that the stochastic memory model depends on different time windows.
To accurately identify the multivariate long memory model in the financial market, this paper proposes the concept of a moving V-statistic on the basis of a modified R/S method to determine whether the time series has a long-range dependence and subsequently to apply wavelet-based multiresolution analysis to study the multifractality of the financial time series to determine the initial data windows.
Finally, we check the moving V-statistic estimation in wavelet analysis in the same condition; the paper selects the volatilities of the gold foreign exchange rates to evaluate the moving V-statistic.
According to the results, the method of testing memory established in this paper can identify the breakpoint of the memories effectively.
Furthermore, this method can provide support for forecasting returns in the financial market.
American Psychological Association (APA)
Zheng, Peng& Liu, Bin& Zhou, Zhongli. 2018. Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-7.
https://search.emarefa.net/detail/BIM-1152448
Modern Language Association (MLA)
Zheng, Peng…[et al.]. Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-7.
https://search.emarefa.net/detail/BIM-1152448
American Medical Association (AMA)
Zheng, Peng& Liu, Bin& Zhou, Zhongli. Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-7.
https://search.emarefa.net/detail/BIM-1152448
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152448