We study the scaling behavior in currency exchange rates. Our results suggest that they satisfy scaling with an exponent close to $0.5$, but that it differs qualitatively from that of a simple random walk. Indeed price variations cannot be considered as independent variables and subtle correlations are present. Furthermore we introduce a novel statistical analysis for economic data which makes the physical properties of a signal more evident and eliminates the systematic effects of time periodicity.
Scaling in currency exchange
Caldarelli, G.;
1997
Abstract
We study the scaling behavior in currency exchange rates. Our results suggest that they satisfy scaling with an exponent close to $0.5$, but that it differs qualitatively from that of a simple random walk. Indeed price variations cannot be considered as independent variables and subtle correlations are present. Furthermore we introduce a novel statistical analysis for economic data which makes the physical properties of a signal more evident and eliminates the systematic effects of time periodicity.File in questo prodotto:
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