relation: http://eprints.imtlucca.it/1176/
title: Scaling in currency exchange
creator: Galluccio, Stefano
creator: Caldarelli, Guido
creator: Marsili, Matteo
creator: Zhang, Yi-Cheng
subject: QC Physics
description: 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.
publisher: Elsevier
date: 1997-01
type: Article
type: PeerReviewed
identifier:   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)  
relation: http://www.sciencedirect.com/science/article/pii/S0378437197003166
relation: 10.1016/S0378-4371(97)00316-6