On the multifractal properties and the local multifractality sensitivity index of euro to Japanese yen foreign currency exchange rates

Stavros Stavroyiannis, Vassilis Nikolaidis and Ilias A. Makris

Global Business and Economics Review, 2011, vol. 13, issue 1, 93-103

Abstract: We examine the high frequency dynamics of euro to Japanese yen foreign currency exchange rates for the period of January 2001 to January 2010, comprising approximately three million data entries. The probability density function is described competently by the Tsallis q-Gaussian statistics, approaching the Gaussian distribution as the time lag increases. Multifractality has been studied using the original, shuffled and surrogate data series to investigate the origin. We then extend the local Hurst exponent idea taking in account the local multifractality, using a moving window of 10,000 data points. The square of the difference of the local multifractality ranges, defined as a sensitivity index, provides a signal before the last crash.

Keywords: financial markets; Tsalis non-extensive statistics; local Hurst exponent; local multifractality sensitivity index; LMSI; euro; Japanese yen; foreign currency; exchange rates; Japan. (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.inderscience.com/link.php?id=39193 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:13:y:2011:i:1:p:93-103

Access Statistics for this article

More articles in Global Business and Economics Review from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().