Measuring the Strangeness of Gold and Silver Rates of Return
检验黄金和白银回报率的可预测性，发现传统计量检验无法拒绝鞅假设，但关联维数估计显示存在ARCH模型无法捕捉的非线性确定性结构，证据支持回报率由非线性确定性过程生成。
The predictability of rates of return on gold and silver are examined. Econometric tests do not reject the martingale hypothesis for either asset. This failure to reject is shown to be misleading. Correlation dimension estimates indicate a structure not captured by ARCH. The correlation dimension is between 6 and 7 while the Kolmogorov entropy is about 0·2 for both assets. The evidence is consistent with a nonlinear deterministic data generating process underlying the rates of return. The evidence is certainly not sufficient to rule out the possibility of some degree of randomness being present.