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Characteristic time scales in the American dollar–Mexican peso exchange currency market

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  • Alvarez-Ramirez, Jose

Abstract

Daily fluctuations of the American dollar–Mexican peso exchange currency market are studied using multifractal analysis methods. It is found evidence of multiaffinity of daily fluctuations in the sense that the qth-order (roughness) Hurst exponent Hq varies with changes in q. It is also found that there exist several characteristic time scales ranging from week to year. Accordingly, the market exhibits persistence in the sense that instabilities introduced by market events acting around the characteristic time scales (mainly, quarter and year) would propagate through the future market activity. Some implications of our results on the regulation of the dollar–mexpeso market activity are discussed.

Suggested Citation

  • Alvarez-Ramirez, Jose, 2002. "Characteristic time scales in the American dollar–Mexican peso exchange currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 309(1), pages 157-170.
    • Handle: RePEc:eee:phsmap:v:309:y:2002:i:1:p:157-170
    DOI: 10.1016/S0378-4371(02)00600-3
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    References listed on IDEAS

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    Cited by:

    1. Du, Guoxiong & Ning, Xuanxi, 2008. "Multifractal properties of Chinese stock market in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 261-269.

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