Comparable Analysis of Long-term Memory of EUR/USD Based on Non-parametrical Statistics

Fei-xue HUANG, Jian-dong JIN, Yan-xi LI

Abstract


Non-parameter statistical methods of classical R/S, revised R/S and V/S was proposed in long-term Memory of EUR/USD. It was concluded through comparable analysis that: (1) Through Normality Test of Return Sequences of EUR/USD Daily Closing Prices, the experimental results imply that bias of daily return sequences of EUR/USD is not equal to zero, and the curve appears to high peak and fat tail. (2) Jarque-Bera test is adopted. The estimated values reject the null hypothesis of normal distribution. (3) The paper estimates daily return series of EUR/USD using classical R/S method. The results show that Hurst exponent is equal to 0.612425; the statistical cycle is 160 days; the correlative scale is close to 1.3432. This study's conclusion was that long-term memory exists in daily return time series of EUR/USD is proved.Key words: rescaled range (R/S) analysis; rescaled variance (V/S) analysis; long-term memory

Keywords


rescaled range (R/S) analysis; rescaled variance (V/S) analysis; long-term memory

Full Text:

PDF


DOI: http://dx.doi.org/10.3968%2Fj.mse.1913035X20100403.013

Refbacks

  • There are currently no refbacks.


Reminder

How to do online submission to another Journal?

If you have already registered in Journal A, then how can you submit another article to Journal B? It takes two steps to make it happen:

1. Register yourself in Journal B as an Author

Find the journal you want to submit to in CATEGORIES, click on “VIEW JOURNAL”, “Online Submissions”, “GO TO LOGIN” and “Edit My Profile”. Check “Author” on the “Edit Profile” page, then “Save”.

2. Submission

Go to “User Home”, and click on “Author” under the name of Journal B. You may start a New Submission by clicking on “CLICK HERE”.


We only use three mailboxes as follows to deal with issues about paper acceptance, payment and submission of electronic versions of our journals to databases:
caooc@hotmail.com; mse@cscanada.net; mse@cscanada.org

Copyright © 2010 Canadian Research & Development Centre of Sciences and Cultures
Address: 730, 77e AV, Laval, Quebec, H7V 4A8, Canada

Telephone: 1-514-558 6138
Http://www.cscanada.net Http://www.cscanada.org