eprintid: 1176
rev_number: 5
eprint_status: archive
userid: 6
dir: disk0/00/00/11/76
datestamp: 2012-02-24 13:15:33
lastmod: 2012-02-24 13:15:33
status_changed: 2012-02-24 13:15:33
type: article
metadata_visibility: show
creators_name: Galluccio, Stefano
creators_name: Caldarelli, Guido
creators_name: Marsili, Matteo
creators_name: Zhang, Yi-Cheng
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
creators_id: 
creators_id: 
title: Scaling in currency exchange
ispublished: pub
subjects: QC
divisions: EIC
full_text_status: none
keywords: PACS: 02.50.-r; 87.10.+e
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.
date: 1997-01
date_type: published
publication: Physica A: Statistical Mechanics and its Applications
volume: 245
number: 3–4
publisher: Elsevier
pagerange: 423 - 436
id_number: 10.1016/S0378-4371(97)00316-6
refereed: TRUE
issn: 0378-4371
official_url: http://www.sciencedirect.com/science/article/pii/S0378437197003166
citation:   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)