We use the theory of nonlinear dynamical systems to measure the complexity of currency markets by estimating the correlation dimension of the returns of the Dollar/Pound and Dollar/Yen daily exchange rates (the spot rates). We test the significance of the re- sults by comparing them to correlation dimension estimates for surrogate time serie, i.e. stochastic linear time series with the same power spectrum and amplitude distribu- tion as given by the original data. We nd discernible nonlinear structure in the returns of the Dollar/Pound daily rate.کلید واژگان :
Complexity; correlation dimension; exchange rate, surrogate data.
ارزش ریالی : 500000 ریال
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