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2014 | OriginalPaper | Buchkapitel

6. Segmentation Study of Foreign Exchange Market

verfasst von : Aki-Hiro Sato

Erschienen in: Applied Data-Centric Social Sciences

Verlag: Springer Japan

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Abstract

This chapter explains a recursive segmentation procedure under normal distribution assumptions. The Akaike information criterion between independently identically distributed Gaussian samples and two successive segments drawn from different Gaussian distributions is used as a discriminator to segment time series. The Jackknife method is employed in order to evaluate a statistical significance level. This chapter shows univariate and multivariate cases. The proposed method is performed for artificial time series consisting of two segments with different statistics. Furthermore, log-return time series of currency exchange rates for 30 currency pairs for the period from January 4, 2001 to December 30, 2011 are divided into 11 segments with the proposed method. It is confirmed that some segment corresponds to historical events recorded as critical situations.

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1
The selected currency pairs are listed as AUD/JPY, BRL/JPY, CAD/JPY, CHF/JPY, EUR/AUD, EUR/BRL, EUR/CAD, EUR/CHF, EUR/GBP, EUR/JPY, EUR/MXN, EUR/NZD, EUR/SGD, EUR/USD, EUR/ZAR, GBP/JPY, MXN/JPY, NZD/JPY, SGD/JPY, USD/AUD, USD/BRL, USD/CAD, USD/CHF, USD/GBP, USD/JPY, USD/MXN, USD/NZD, USD/SGD, USD/ZAR, and ZAR/JPY.
 
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Metadaten
Titel
Segmentation Study of Foreign Exchange Market
verfasst von
Aki-Hiro Sato
Copyright-Jahr
2014
Verlag
Springer Japan
Buch
Applied Data-Centric Social Sciences

Print ISBN: 978-4-431-54973-4

Electronic ISBN: 978-4-431-54974-1

Copyright-Jahr: 2014

DOI
https://doi.org/10.1007/978-4-431-54974-1_6

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