Scaling in currency exchange: a conditionally exponential decay approach

Szymon Mercik and Rafał Weron

Physica A: Statistical Mechanics and its Applications, 1999, vol. 267, issue 1, 239-250

Abstract: We use the Conditionally Exponential Decay (CED) model to explain the scaling behavior in currency exchange (FX) rates. This approach enables us not only to show that FX returns satisfy scaling with an exponent qualitatively different from that of a random walk, but also to identify the distributions of these returns corresponding to the empirical scaling laws. The study is conducted via three different estimation methods and using intra-daily FX data which offers the great advantage of large samples and high significance.

Keywords: Econophysics; Scaling law; CED model; High frequency data (search for similar items in EconPapers)
Date: 1999
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Related works:
Working Paper: Scaling in currency exchange: A Conditionally Exponential Decay approach (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:267:y:1999:i:1:p:239-250

DOI: 10.1016/S0378-4371(99)00019-9

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