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Scaling in currency exchange

Galluccio, Stefano and Caldarelli, Guido and Marsili, Matteo and Zhang, Yi-Cheng Scaling in currency exchange. Physica A: Statistical Mechanics and its Applications, 245 (3–4). 423 - 436. ISSN 0378-4371 (1997)

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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.

Item Type: Article
Identification Number: 10.1016/S0378-4371(97)00316-6
Uncontrolled Keywords: PACS: 02.50.-r; 87.10.+e
Subjects: Q Science > QC Physics
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 24 Feb 2012 13:15
Last Modified: 24 Feb 2012 13:15
URI: http://eprints.imtlucca.it/id/eprint/1176

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