Testing for dynamics in the irregular fluctuations of financial data

Price changes in financial data fluctuate irregularly or stochastically. This paper investigates whether the irregular fluctuations are random or have some kind of dynamics by applying a recently developed method, the small-shuffle surrogate method. The data used are daily gold price, daily Japanese Yen/US dollar exchange rate and tick-wise data of the Swiss Francs/US dollar exchange rate. The results indicate that irregular fluctuations in these data are not random but have some kind of dynamics.