TY  - JOUR
TI  - Scaling in currency exchange
AV  - none
KW  - PACS: 02.50.-r; 87.10.+e
UR  - http://www.sciencedirect.com/science/article/pii/S0378437197003166
SN  - 0378-4371
N2  - 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.
ID  - eprints1176
EP  -  436
Y1  - 1997/01//
JF  - Physica A: Statistical Mechanics and its Applications
IS  - 3?4
A1  - Galluccio, Stefano
A1  - Caldarelli, Guido
A1  - Marsili, Matteo
A1  - Zhang, Yi-Cheng
PB  - Elsevier
SP  - 423 
VL  - 245
ER  -