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Sparseness and Roughness of Foreign Exchange Rates

Author

Listed:
  • N. Vandewalle

    (SUPRAS, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium)

  • M. Ausloos

    (SUPRAS, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium)

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).

Suggested Citation

  • N. Vandewalle & M. Ausloos, 1998. "Sparseness and Roughness of Foreign Exchange Rates," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 9(05), pages 711-719.
    • Handle: RePEc:wsi:ijmpcx:v:09:y:1998:i:05:n:s0129183198000613
    DOI: 10.1142/S0129183198000613
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    Citations

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    Cited by:

    1. T. Di Matteo & T. Aste & M. M. Dacorogna, 2003. "Using the Scaling Analysis to Characterize Financial Markets," Papers cond-mat/0302434, arXiv.org.
    2. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    3. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
    4. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2007. "Scale invariant distribution and multifractality of volatility multipliers in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 381(C), pages 343-350.
    5. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractality in stock indexes: Fact or Fiction?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3605-3614.
    6. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Casado Belmonte, M.P. & Trinidad Segovia, J.E., 2020. "A note on power-law cross-correlated processes," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
    7. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006-12, Christian-Albrechts-University of Kiel, Department of Economics.
    8. Maganini, Natália Diniz & Da Silva Filho, Antônio Carlos & Lima, Fabiano Guasti, 2018. "Investigation of multifractality in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 258-271.
    9. Kaltwasser, Pablo Rovira, 2010. "Uncertainty about fundamentals and herding behavior in the FOREX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1215-1222.
    10. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.

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