Scaling analysis on Indian foreign exchange market

A. Sarkar and P. Barat

Physica A: Statistical Mechanics and its Applications, 2006, vol. 364, issue C, 362-368

Abstract: In this paper, we investigate the scaling behavior of the average daily exchange rate returns of the Indian Rupee against four foreign currencies: namely, US Dollar, Euro, Great Britain Pound and Japanese Yen. The average daily exchange rate return of the Indian Rupee against US Dollar is found to exhibit a persistent scaling behavior and follow Levy stable distribution. On the contrary, the average daily exchange rate returns of the other three foreign currencies do not show persistency or antipersistency and follow Gaussian distribution.

Keywords: Econophysics; Exchange rate; Diffusion entropy analysis; Standard deviation analysis (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437105010186
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:eee:phsmap:v:364:y:2006:i:c:p:362-368

DOI: 10.1016/j.physa.2005.09.044

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().