Gold, currencies and market efficiency

0455876 - ÚTIA 2017 RIV NL eng J - Článek v odborném periodiku
Krištoufek, Ladislav - Vošvrda, Miloslav
Gold, currencies and market efficiency.
Physica. A : Statistical Mechanics and its Applications. Roč. 449, č. 1 (2016), s. 27-34. ISSN 0378-4371. E-ISSN 1873-2119
Grant CEP: GA ČR(CZ) GBP402/12/G097
Institucionální podpora: RVO:67985556
Klíčová slova: Efficient market hypothesis, * Gold * Currencies, * Fractal dimension * Entropy * Long-Term memory
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 2.243, rok: 2016
http://library.utia.cas.cz/separaty/2016/E/kristoufek-0455876.pdf

Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold price series for different currencies, we construct the efficiency ranking based on the extended EI methodology we provide.
Trvalý link: http://hdl.handle.net/11104/0257096