[en] An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponent H-1 which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittency C-1 has been also estimated. In the (H-1, C-1) phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value (H-1 = 0.5, C-1 = 0) and have a significantly intermittent component (C1 not equal 0).
Disciplines :
Physics
Author, co-author :
Vandewalle, Nicolas ; Université de Liège - ULiège > Département de physique > Physique statistique
Ausloos, Marcel ; Université de Liège - ULiège > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S.
Language :
English
Title :
Sparseness and roughness of foreign exchange rates
Publication date :
July 1998
Journal title :
International Journal of Modern Physics. C
ISSN :
0129-1831
Publisher :
World Scientific Publishing Company, Singapore, Singapore
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