Title: The Efficiency of the Foreign Exchan ge Market and Fractal Market Analysis
Abstract: The linear paradigm of efficient foreign exchange market hypothesis(EMH)does not conform to market realities.Em-pirical analysis shows that changes in exchange rates do not follow norma l distribution but fractal distribu tion;fractal R /S analysis indicates that changes in exchange rates are not a random -walk ing process,but a biased random proc ess,that exchange prices are not independent of each other,but continuous in state,and that changes in exchange price s are cyclical.When intervening in foreign exchange market,central bank must take account of thelong -term memoryeffect of changes in exchange rate an d take corresponding countermeasur es,and put emphasis on the role of mic ro -entities in the fluctuation of exchange rates.
Publication Year: 2002
Publication Date: 2002-01-01
Language: en
Type: article
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