Number of the records: 1

Gold, currencies and market efficiency

SYSNO ASEP	0455876
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Gold, currencies and market efficiency
Author(s)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID} Vošvrda, Miloslav (UTIA-B)_RID
Number of authors	2
Source Title	Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371 Roč. 449, č. 1 (2016), s. 27-34
Number of pages	8 s.
Publication form	Print - P
Language	eng - English
Country	NL - Netherlands
Keywords	Efficient market hypothesis, ; Gold ; Currencies, ; Fractal dimension ; Entropy ; Long-Term memory
Subject RIV	AH - Economics
R&D Projects	GBP402/12/G097 GA ČR - Czech Science Foundation (CSF)
Institutional support	UTIA-B - RVO:67985556
UT WOS	000370898000003
EID SCOPUS	84961322262
DOI	10.1016/j.physa.2015.12.075
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2017

Number of the records: 1