Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis
Memory in finance is the foundation of a well-established forecasting model, and new financial theory research shows that the stochastic memory model depends on different time windows. To accurately identify the multivariate long memory model in the financial market, this paper proposes the concept...
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/3051632 |
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| _version_ | 1832561478133088256 |
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| author | Peng Zheng Bin Liu Zhongli Zhou |
| author_facet | Peng Zheng Bin Liu Zhongli Zhou |
| author_sort | Peng Zheng |
| collection | DOAJ |
| description | Memory in finance is the foundation of a well-established forecasting model, and new financial theory research shows that the stochastic memory model depends on different time windows. To accurately identify the multivariate long memory model in the financial market, this paper proposes the concept of a moving V-statistic on the basis of a modified R/S method to determine whether the time series has a long-range dependence and subsequently to apply wavelet-based multiresolution analysis to study the multifractality of the financial time series to determine the initial data windows. Finally, we check the moving V-statistic estimation in wavelet analysis in the same condition; the paper selects the volatilities of the gold foreign exchange rates to evaluate the moving V-statistic. According to the results, the method of testing memory established in this paper can identify the breakpoint of the memories effectively. Furthermore, this method can provide support for forecasting returns in the financial market. |
| format | Article |
| id | doaj-art-1b76ca6ccedb4a518e34da4dccb1fd75 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-1b76ca6ccedb4a518e34da4dccb1fd752025-02-03T01:24:52ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2018-01-01201810.1155/2018/30516323051632Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution AnalysisPeng Zheng0Bin Liu1Zhongli Zhou2College of Management Science, Chengdu University of Technology, Chengdu, Sichuan Province 610059, ChinaCollege of Management Science, Chengdu University of Technology, Chengdu, Sichuan Province 610059, ChinaCollege of Management Science, Chengdu University of Technology, Chengdu, Sichuan Province 610059, ChinaMemory in finance is the foundation of a well-established forecasting model, and new financial theory research shows that the stochastic memory model depends on different time windows. To accurately identify the multivariate long memory model in the financial market, this paper proposes the concept of a moving V-statistic on the basis of a modified R/S method to determine whether the time series has a long-range dependence and subsequently to apply wavelet-based multiresolution analysis to study the multifractality of the financial time series to determine the initial data windows. Finally, we check the moving V-statistic estimation in wavelet analysis in the same condition; the paper selects the volatilities of the gold foreign exchange rates to evaluate the moving V-statistic. According to the results, the method of testing memory established in this paper can identify the breakpoint of the memories effectively. Furthermore, this method can provide support for forecasting returns in the financial market.http://dx.doi.org/10.1155/2018/3051632 |
| spellingShingle | Peng Zheng Bin Liu Zhongli Zhou Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis Discrete Dynamics in Nature and Society |
| title | Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis |
| title_full | Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis |
| title_fullStr | Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis |
| title_full_unstemmed | Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis |
| title_short | Memories of the Gold Foreign Exchange Market Based on a Moving V-Statistic and Wavelet-Based Multiresolution Analysis |
| title_sort | memories of the gold foreign exchange market based on a moving v statistic and wavelet based multiresolution analysis |
| url | http://dx.doi.org/10.1155/2018/3051632 |
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