کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10480752 | 932924 | 2012 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
⺠We apply the detrended fluctuation analysis (DFA) technique. ⺠We test the weak-form efficient market hypothesis (EMH) concerning the Iranian Rial/US Dollar using daily Forex exchange rate time series data. ⺠We also divide the whole period into four subperiods. ⺠The Iranian Forex market (the Rial/Dollar case) is weak-form inefficient over the whole period and in each of the subperiods. ⺠The findings suggest that profitable risk-adjusted trades could be made using past data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 391, Issue 11, 1 June 2012, Pages 3170-3179
Journal: Physica A: Statistical Mechanics and its Applications - Volume 391, Issue 11, 1 June 2012, Pages 3170-3179
نویسندگان
Esmaiel Abounoori, Mahdi Shahrazi, Saeed Rasekhi,