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Fluctuation dynamics of exchange rates on Polish financial market

Author

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  • Orłowski, A.
  • Struzik, Z.R.
  • Syczewska, E.
  • Załuska-Kotur, M.A.

Abstract

We show results of local fluctuation analysis, probability distributions, and fractional integration analysis for nominal exchange rates of the Polish zloty versus two foreign currencies (US dollar and German mark/euro). The results confirm the rapid change of the volatility pattern in August 1997. We compare the type of the fluctuation behavior before and after this date.

Suggested Citation

  • Orłowski, A. & Struzik, Z.R. & Syczewska, E. & Załuska-Kotur, M.A., 2004. "Fluctuation dynamics of exchange rates on Polish financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 184-189.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:184-189
    DOI: 10.1016/j.physa.2004.06.113
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    References listed on IDEAS

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    1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    2. Ausloos, M & Ivanova, K, 2000. "Introducing False EUR and False EUR exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 286(1), pages 353-366.
    3. Ausloos, M. & Vandewalle, N. & Boveroux, Ph. & Minguet, A. & Ivanova, K., 1999. "Applications of statistical physics to economic and financial topics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 229-240.
    4. Yanhui Liu & Parameswaran Gopikrishnan & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1999. "The statistical properties of the volatility of price fluctuations," Papers cond-mat/9903369, arXiv.org, revised Mar 1999.
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    Cited by:

    1. Scarlat, E.I. & Stan, Cristina & Cristescu, C.P., 2007. "Chaotic features in Romanian transition economy as reflected onto the currency exchange rate," Chaos, Solitons & Fractals, Elsevier, vol. 33(2), pages 396-404.

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