Institute of Information Theory and Automation

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Publication details

Gold, currencies and market efficiency

Journal Article

Krištoufek Ladislav, Vošvrda Miloslav

serial: Physica. A : Statistical Mechanics and its Applications vol.449, 1 (2016), p. 27-34

project(s): GBP402/12/G097, GA ČR

keywords: Efficient market hypothesis,, Gold, Currencies,, Fractal dimension, Entropy, Long-Term memory

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abstract (eng):

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.


bocek: 2012-12-21 16:10