Scaling in currency exchange: A Conditionally Exponential Decay approach
AbstractWe use the Conditionally Exponential Decay (CED) model to explain the scaling behavior in currency exchange (FX) rates. This approach enables us not only to show that FX returns satisfy scaling with an exponent qualitatively different from that of a random walk, but also to identify the distributions of these returns corresponding to the empirical scaling laws. The study is conducted via three different estimation methods and using intra-daily FX data which offers the great advantage of large samples and high significance.
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Bibliographic InfoPaper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/98/02.
Length: 15 pages
Date of creation: 1998
Date of revision:
Publication status: Published in Physica A 267 (1999) 239-250.
Econophysics; Scaling law; CED model; High frequency data; Currency exchange;
Other versions of this item:
- Mercik, Szymon & Weron, Rafal, 1999. "Scaling in currency exchange: a conditionally exponential decay approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 267(1), pages 239-250.
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
- John List & Matti Liski, 2005. "Introduction," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 31(2), pages 121-121, 06.
- Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron).
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