Exponentially damped Lévy flights, multiscaling, and exchange rates

Raul Matsushita, Iram Gleria, Annibal Figueiredo, Pushpa Rathie and Sergio Da Silva

Physica A: Statistical Mechanics and its Applications, 2004, vol. 333, issue C, 353-369

Abstract: We employ our previously suggested exponentially damped Lévy flight (Physica A 326 (2003) 544) to study the multiscaling properties of 30 daily exchange rates against the US dollar together with a fictitious euro-dollar rate (Physica A 286 (2000) 353). Though multiscaling is not theoretically seen in either stable Lévy processes or abruptly truncated Lévy flights, it is even characteristic of smoothly truncated Lévy flights (Phys. Lett. A 266 (2000) 282; Eur. Phys. J. B 4 (1998) 143). We have already defined a class of “quasi-stable” processes in connection with the finding that single scaling is pervasive among the dollar price of foreign currencies (Physica A 323 (2003) 601). Here we show that the same goes as far as multiscaling is concerned. Our novel findings incidentally reinforce the case for real-world relevance of the Lévy flights for modeling financial prices.

Keywords: Lévy distributions; Foreign exchange rates; Multiscaling (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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Working Paper: Exponentially Damped Levy Flights, Multiscaling, and Exchange Rates (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:333:y:2004:i:c:p:353-369

DOI: 10.1016/j.physa.2003.10.040

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