This paper presents an empirical investigation of scaling and multifractal properties of US Dollar–Deutschemark (USD–DEM) returns. The data set is ten years of 5-min returns. The cumulative return distributions of positive and negative tails at different time intervals are linear in the...

In this paper, we investigate the fractal scaling behaviors of foreign currency exchange rates with respect to Malaysian currency, Ringgit Malaysia. These time series are examined piecewise before and after the currency control imposed in 1st September 1998 using the monofractal model based on...

By scientific standards, the accuracy of short-term economic forecasts has been poor, and shows no sign of improving over time. We form a delay matrix of time-series data on the overall rate of growth of the economy, with lags spanning the period over which any regularity of behaviour is...

Recurrent international financial crises inflict significant damage to societies and stress the need for mechanisms or strategies to control risk and tamper market uncertainties. Unfortunately, the complex network of market interactions often confounds rational approaches to optimize financial...

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of...

We demonstrate how the basic ideas of the fractal and the heterogeneous market hypotheses lead to a rigorous mathematical model, which can be used to solve the problem of characterizing the distribution of price changes corresponding to the empirical scaling law of volatility for high-frequency...

Through simple analytical calculations and numerical simulations, we demonstrate the generic existence of a self-organized macroscopic state in any large multivariate system possessing non-vanishing average correlations between a finite fraction of all pairs of elements. The coexistence of an...

As an aggregate measure of the variations in individuals, the analysis of mobility provides a substantial and comprehensive perspective into the complexity of socio-economic systems. In this paper, we introduced the ranking mobility index to measure the ranking variations of the stocks in...

Neural network algorithms are applied to the problem of option pricing and adopted to simulate the nonlinear behavior of such financial derivatives. Two different kinds of neural networks, i.e. multi-layer perceptrons and radial basis functions, are used and their performances compared in...