Sparseness and Roughness of Foreign Exchange Rates
- 1 July 1998
- journal article
- research article
- Published by World Scientific Pub Co Pte Ltd in International Journal of Modern Physics C
- Vol. 09 (05) , 711-719
- https://doi.org/10.1142/s0129183198000613
Abstract
An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponent H1which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittency C1has been also estimated. In the (H1,C1) phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value (H1=0.5,C1=0) and have a significantly intermittent component (C1≠0).Keywords
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