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Scaling, self-similarity and multifractality in FX markets

  • Published:2003-05 Issue: Volume:323 Page:578-590
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Xu Zhaoxia,Gençay Ramazan

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference17 articles.

1. The variation of certain speculative prices;Mandelbrot;J. Business,1963

2. The behavior of stock market prices;Fama;J. Bus.,1965

3. Chaos and Order in The Capital Markets: A New View of Cycles, Prices, and Market Volatility;Peters,1991

4. Fractals and Scaling in Finance: Discontinuity, Concentration, Risk;Mandelbrot,1997

5. L. Calvet, A. Fisher, Multifractality in Asset Returns: Theory and Evidence, 2001, Manuscript.

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