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

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Author Info

  • Jeyanthi Karuppiah

    (Nanyang Business School, Nanyang Technological University, Singapore)

  • Cornelis A. Los

    (School of Economics, University of Adelaide)

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.

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File URL: http://www.economics.adelaide.edu.au/research/papers/doc/wp2000-06.pdf
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Bibliographic Info

Paper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 2000-06.

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Length: 58 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:adl:wpaper:2000-06

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Related research

Keywords: foreign exchange; anti-persistence; multi-resolution analysis; wavelets; Asia;

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References

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Cited by:
  1. Cornelis A. Los, 2000. "Visualization of Chaos for Finance Majors," School of Economics Working Papers 2000-07, University of Adelaide, School of Economics.

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