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Testing for dynamics in the irregular fluctuations of financial data

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  • Nakamura, Tomomichi
  • Small, Michael

Abstract

Price changes in financial data fluctuate irregularly or stochastically. This paper investigates whether the irregular fluctuations are random or have some kind of dynamics by applying a recently developed method, the small-shuffle surrogate method. The data used are daily gold price, daily Japanese Yen/US dollar exchange rate and tick-wise data of the Swiss Francs/US dollar exchange rate. The results indicate that irregular fluctuations in these data are not random but have some kind of dynamics.

Suggested Citation

  • Nakamura, Tomomichi & Small, Michael, 2006. "Testing for dynamics in the irregular fluctuations of financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 377-386.
    • Handle: RePEc:eee:phsmap:v:366:y:2006:i:c:p:377-386
    DOI: 10.1016/j.physa.2005.10.032
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    References listed on IDEAS

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    Cited by:

    1. Nakamura, Tomomichi & Small, Michael, 2007. "Tests of the random walk hypothesis for financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(2), pages 599-615.

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