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Gold, currencies and market efficiency
- 1.0455876 - ÚTIA 2017 RIV NL eng J - Journal Article
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
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Efficient market hypothesis, * Gold * Currencies, * Fractal dimension * Entropy * Long-Term memory
Subject RIV: AH - Economics
Impact factor: 2.243, year: 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.
Permanent Link: http://hdl.handle.net/11104/0257096
Number of the records: 1