Sparseness and Roughness of Foreign Exchange Rates
1998 ◽
Vol 09
(05)
◽
pp. 711-719
◽
Keyword(s):
An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponent H1 which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittency C1 has been also estimated. In the (H1,C1) phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value (H1=0.5,C1=0) and have a significantly intermittent component (C1≠0).
Keyword(s):
2002 ◽
Vol 77
(2)
◽
pp. 343-377
◽
Keyword(s):
2011 ◽
Vol 13
(1)
◽
pp. 93
◽
Keyword(s):
Keyword(s):
2020 ◽
Vol 560
◽
pp. 125191
2018 ◽
Vol 24
(109)
◽
pp. 545