Wavelet analysis of Asian FX markets using high frequency data

• المؤلف الرئيسي: Jeyanthi
• مؤلفون آخرون: Los, Cornelis Albertus
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Money::Money market
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/7352
• المؤسسة: Nanyang Technological University

Speculative pricing process are nonstationary and do not conform to geometric Brownian motion since they exhibit scaling law. FX series reveal fractal dimensions lower than 2 which explains their features of self-similarity. This paper uses Mallat's (1989) time-scale multiresoultion analysis wi...