英文标题：
《Gold, currencies and market efficiency》
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作者：
Ladislav Kristoufek and Miloslav Vosvrda
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最新提交年份：
2015
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英文摘要：
  Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold price series for different currencies, we construct the efficiency ranking based on the extended EI methodology we provide. Rather unexpected results are uncovered as the gold prices in major currencies lay among the least efficient ones whereas very minor currencies are among the most efficient ones. We argue that such counterintuitive results can be partly attributed to a unique period of examination (2011-2014) characteristic by quantitative easing and rather unorthodox monetary policies together with the investigated illegal collusion of major foreign exchange market participants, as well as some other factors discussed in some detail.
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中文摘要：
黄金和货币市场形成了一对独特的组合，具有特定的互动和动态。我们关注黄金市场相对于购买货币的效率排名。通过利用基于分形维数、近似熵和长期记忆的效率指数（EI）对142个不同货币的黄金价格系列进行广泛组合，我们基于我们提供的扩展EI方法构建了效率排名。由于主要货币的黄金价格处于最低效货币之列，而极少数货币则处于最高效货币之列，因此发现了相当出乎意料的结果。我们认为，这种违反直觉的结果可以部分归因于一个独特的审查期（2011-2014年），其特点是量化宽松和相当非正统的货币政策，以及主要外汇市场参与者被调查的非法勾结，以及一些详细讨论的其他因素。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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