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Chandra Babu, A.
- An Empirical Study of Long Term Memory in Foreign Exchange Markets
Abstract Views :471 |
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Authors
Affiliations
1 Sathyabama University Chennai - 600119, IN
2 Department of Mathematics MNM Jain Engineering College Chennai - 600097, IN
1 Sathyabama University Chennai - 600119, IN
2 Department of Mathematics MNM Jain Engineering College Chennai - 600097, IN
Source
Journal of Management Research, Vol 11, No 1 (2011), Pagination: 31-36Abstract
Accuracy in forecasting the foreign exchange rate and predicting the trend correctly is of crucial importance for any future investments. Over the last few decades, the foreign exchange market has experienced unprecedented growth. The purpose of this paper is to apply rescaled range analysis to foreign exchange market data in an attempt to establish the presence of long term memory and market cycles. It also identifies the fractal dimension of the market by using rescaled range analysis and an estimated Hurst exponent.Keywords
Chaos, Fractals, Rescaled Range, Persistence, Foreign Exchange MarketReferences
- Barnsley, M. (1988), Fractals Everywhere, Academic Press, Boston, MA.
- Cheung, Yin-Wong (1993), Long Memory in Foreign Exchange Rates, Journal of Business and Economic Statistics, 11(1): 69-77.
- Davies, R. B. and Harte, D. S. (1987), Test for Hurst Effect, Biometrica, 74: 95-102.
- Edgar, E. Peters (1994), Fractal Market Analysis, pp. 189-196, John Wiley and Sons, New York.
- Edgar, E. Peters (1991), Chaos and Order in Capital Markets, John Wiley and Sons, New York.
- Edgar, E. Peters (1989), Fractal Structure in the Capital Markets, Financial Analysts Journal, (July-August): 32-37.
- Hurst, H. E. (1951),The Long Term Storage Capacity of Reservior, Transactions of the Amercian Society of Civil Engineers, 116: 770-799.
- Lo, A. W. (1991), Long-Term Memory in Stock Market Price, Econometrica, 59(3): 1279-1313.
- Mandelbrot, B. (1982),The Fractal Geometry of Nature, W. H. Freeman, New York.
- Mandelbrot, B. (1972), Statistical Methodology for Non-periodic Cycles from the Covariances of R/S Analysis, Annals of Economics and Social measurement.
- System Reliability Approach to Problems in Medical Field
Abstract Views :136 |
PDF Views:4
Authors
Affiliations
1 Department of Mathematics, Sacred Heart College, Tirupattur-635601, Vellore, IN
2 Department of Mathematics, MNM Jain Engineering College, Thoraippakkam, Chennai, IN
1 Department of Mathematics, Sacred Heart College, Tirupattur-635601, Vellore, IN
2 Department of Mathematics, MNM Jain Engineering College, Thoraippakkam, Chennai, IN
Source
Biometrics and Bioinformatics, Vol 3, No 4 (2011), Pagination: 207-214Abstract
System Reliability approach to problems in medical field helps us to analyze the overall system reliability of medical instruments and other such systems in the medical field, from the reliability factors of the subsystems and elements. The failure of the system as a whole can be attributed to the failure of one or more components of the system not functioning in the stipulated manner.In this paper, several models of mixed series and parallel configurations with their system reliabilities are discussed, their reliabilities are evaluated through combinatorial rules of probability theory. Also their hazard rates and fault tree analysis approach (FTA) are investigated. Certain illustrations are also provided.Keywords
Failure Rate, Fault-Tree Analysis, Mixed, Parallel Configurations, Reliability, Series Configuration.- Modeling and Forecasting of Foreign Exchange Rates Using Auto Regressive Moving Average (ARIMA) and Artificial Neural Networks (ANN)
Abstract Views :165 |
PDF Views:3
Authors
Affiliations
1 Department of Mathematics, Sathyabama University, Chennai, IN
2 Department of Mathematics, M.N.M. Jain Engineering College, Chennai, IN
1 Department of Mathematics, Sathyabama University, Chennai, IN
2 Department of Mathematics, M.N.M. Jain Engineering College, Chennai, IN