Počet záznamů: 1  

Gold, currencies and market efficiency

  1. 1. 0455876 - UTIA-B 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
    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