Multi-Fractality in Foreign Currency Markets

Marco Corazza () and Anastasios Malliaris

Multinational Finance Journal, 2002, vol. 6, issue 2, 65-98

Abstract: Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Levy stable (PLs) distributed, whereas others have asserted that asset returns may be identically - but not independently - fractional Brownian motion (fBm) distributed with Hurst exponents, in both cases, that differ from 0.5. In this article we empirically explore such non-standard assumptions for both spot and (nearby) futures returns for five foreign currencies: the British Pound, the Canadian Dollar, the German Mark, the Swiss Franc, and the Japanese Yen.

Keywords: exponent of Hurst; fractional Brownian motion; multi-fractal market hypothesis; Pareto-Levy stable process; R/S analysis (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:6:y:2002:i:2:p:65-98

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