分形市场中的汇率协整关系

本文将混沌与分形运用到汇率研究中,运用R/S方法研究了外汇收益率的长记忆性,并将传统的协整理论推广到广义的分数维协整,研究了时间序列之间的长期均衡关系,并以外汇市场中的欧元和新加坡元兑美元的汇率为例进行了实证分析,指出这两种货币收益率服从分形分布,具有相同的分整阶数且二者存在分数维协整关系。

Cointegration Analysis of Foreign Exchange Rate in Fractional Market

In this paper,the chaos and fractional theory is applied in the research on the foreign exchange rate. The long memeory of the return of foreign exchange is researched by way of R/S method. Furthermore,the conventional cointegration theory is extended to fractional cointegration,and the long-term stability relationship among serieses is also studied. At last,the empirical analysis on exchange rate of Euro and Singapore Dollar to US dollar indicates that the return of the two money are both subject to fractal distribution,the order of fractional-integer（FI） time serie are equal,and there exists frational cointegration.