Gold, currencies and market efficiency
作者： Ladislav Kristoufek , Miloslav Vosvrda
DOI: 10.1016/J.PHYSA.2015.12.075
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摘要: Abstract Gold and currency markets form a unique pair with specific interactions dynamics. We focus on the efficiency ranking of gold respect to purchase. By utilizing Efficiency Index (EI) based fractal dimension, approximate entropy long-term memory wide portfolio 142 price series for different currencies, we construct extended EI methodology provide. Rather unexpected results are uncovered as prices in major currencies lay among least efficient ones whereas very minor most ones. argue that such counterintuitive can be partly attributed period examination (2011–2014) characteristic by quantitative easing rather unorthodox monetary policies together investigated illegal collusion foreign exchange market participants, well some other factors discussed detail.
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