Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997

Jeyanthi Karuppiah and Cornelis Los
Additional contact information
Jeyanthi Karuppiah: Nanyang Business School, Nanyang Technological University, Singapore

No 2000-06, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet multiresolution analysis, with Haar wavelets, to analyze the nonstationarity (time-dependence) and self-similarity (scale-dependence) of intra-day Asian currency spot exchange rates.

Keywords: foreign exchange; anti-persistence; multi-resolution analysis; wavelets; Asia (search for similar items in EconPapers)
JEL-codes: C22 F31 G14 G15 O53 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://media.adelaide.edu.au/economics/papers/doc/wp2000-06.pdf (application/pdf)

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:adl:wpaper:2000-06

Access Statistics for this paper

More papers in School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy Contact information at EDIRC.
Bibliographic data for series maintained by Qazi Haque ().