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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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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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