0507284 20240103222354.820190806235959.9 84961322262 000370898000003 10.1016/j.physa.2015.12.075 8 s. P cav_un_epca*02574230378-43714491 (2016)27-34Elsevier Efficient market hypothesis Gold Currencies Fractal dimension Entropy Long-term memory cav_un_auth*0256902 Department of Econometrics 50 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101230 Department of Econometrics 50 Vošvrda Miloslav UTIA-B Ekonometrie Department of Econometrics E E Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507284.pdf https://www.sciencedirect.com/science/article/pii/S0378437115011036 cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ cav_un_auth*0308905 612955 EC XE 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. WOS AH 50000 50200 50206 2020 2 RVO:67985556 http://hdl.handle.net/11104/0298750 S 1* Article Physics Multidisciplinary C PHYSICS.MULTIDISCIPLINARY 2.146 0.546 8.8 0.02316 0.465 21650 0.761 Q1 1.613 1068 Q1 49.326 77.8 Q3 Q2 77.848 2016 84961322262 SCOPUS PUBMED 000370898000003 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 449 č. 1 2016 27 34 Elsevier