Sparseness and Roughness of Foreign Exchange Rates

N. Vandewalle () and Marcel Ausloos
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N. Vandewalle: SUPRAS, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium

International Journal of Modern Physics C (IJMPC), 1998, vol. 09, issue 05, 711-719

Abstract: An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponentH1which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittencyC1has been also estimated. In the(H1,C1)phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value(H1=0.5,C1=0)and have a significantly intermittent component(C1≠0).

Keywords: Multiaffine Analysis; ARCH Modeling; Temporal Correlations; Stationarity; Currency Exchange Rates; Brownian Motion; 05.40.+j-01.75.+m (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1142/S0129183198000613

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