Wavelet analysis of Asian FX markets using high frequency data
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...
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| Format: | Thesis |
| Language: | English |
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2008
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| Online Access: | http://hdl.handle.net/10356/7352 |