Characteristic time scales in the American dollar–Mexican peso exchange currency market

Jose Alvarez-Ramirez

Physica A: Statistical Mechanics and its Applications, 2002, vol. 309, issue 1, 157-170

Abstract: Daily fluctuations of the American dollar–Mexican peso exchange currency market are studied using multifractal analysis methods. It is found evidence of multiaffinity of daily fluctuations in the sense that the qth-order (roughness) Hurst exponent Hq varies with changes in q. It is also found that there exist several characteristic time scales ranging from week to year. Accordingly, the market exhibits persistence in the sense that instabilities introduced by market events acting around the characteristic time scales (mainly, quarter and year) would propagate through the future market activity. Some implications of our results on the regulation of the dollar–mexpeso market activity are discussed.

Keywords: Foreign exchange currency; Fractals; Fluctuations; Mutiaffinity (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:309:y:2002:i:1:p:157-170

DOI: 10.1016/S0378-4371(02)00600-3

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