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)
Full text not available from this repository.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: | https://doi.org/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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