Sparseness and roughness of foreign exchange rates

Vandewalle, Nicolas; Ausloos, Marcel

doi:10.1142/S0129183198000613

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Sparseness and roughness of foreign exchange rates

Vandewalle, Nicolas; Ausloos, Marcel

1998 • In International Journal of Modern Physics. C, 9 (5), p. 711-719

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https://hdl.handle.net/2268/18003

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10.1142/S0129183198000613

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Abstract :

[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

Volume :

Issue :

Pages :

711-719

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 07 August 2009

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