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Scaling in currency exchange

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Author Info

  • Galluccio, S.
  • Caldarelli, G.
  • Marsili, M.
  • Zhang, Y.-C.
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    Abstract

    We study the scaling behavior in currency exchange rates. Our results suggest that they satisfy scaling with an exponent close to 0.5, but that it differs qualitatively from that of a simple random walk. Indeed price variations cannot be considered as independent variables and subtle correlations are present. Furthermore, we introduce a novel statistical analysis for economic data which makes the physical properties of a signal more evident and eliminates the systematic effects of time periodicity.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437197003166
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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 245 (1997)
    Issue (Month): 3 ()
    Pages: 423-436

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    Handle: RePEc:eee:phsmap:v:245:y:1997:i:3:p:423-436

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

    Related research

    Keywords: Scaling theory; Random walks; Diffusion processes;

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    Cited by:
    1. Nicol\'o Musmeci & Stefano Battiston & Guido Caldarelli & Michelangelo Puliga & Andrea Gabrielli, 2012. "Bootstrapping topology and systemic risk of complex network using the fitness model," Papers 1209.6459, arXiv.org.
    2. Turiel, Antonio & Pérez-Vicente, Conrad J., 2005. "Role of multifractal sources in the analysis of stock market time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(2), pages 475-496.
    3. Kang, Sang Hoon & Yoon, Seong-Min, 2007. "Long memory properties in return and volatility: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(2), pages 591-600.
    4. Bassler, Kevin E. & McCauley, Joseph L. & Gunaratne, Gemunu H., 2006. "Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets," MPRA Paper 2126, University Library of Munich, Germany.
    5. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
    6. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
    7. Seemann, Lars & McCauley, Joseph L. & Gunaratne, Gemunu H., 2011. "Intraday volatility and scaling in high frequency foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 121-126, June.
    8. Nunes Amaral, Luís A & Buldyrev, Sergey V & Havlin, Shlomo & Maass, Philipp & Salinger, Michael A & Eugene Stanley, H & Stanley, Michael H.R, 1997. "Scaling behavior in economics: The problem of quantifying company growth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 244(1), pages 1-24.
    9. Seemann, Lars & Hua, Jia-Chen & McCauley, Joseph L. & Gunaratne, Gemunu H., 2012. "Ensemble vs. time averages in financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6024-6032.

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