Fractal structures and naive trading systems

Evidence from the spot US dollar/Japanese yen

Jonathan Batten, Craig Ellis*

*Corresponding author for this work

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)411-421
Number of pages11
JournalJapan and the World Economy
Volume8
Issue number4
DOIs
Publication statusPublished - Dec 1996

Keywords

  • Fractal structure
  • Random walk
  • Rescaled range
  • Technical trading systems

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