Reference : Multi-affine analysis of typical currency exchange rates
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Physics
Multi-affine analysis of typical currency exchange rates
Vandewalle, Nicolas mailto [Université de Liège - ULg > Département de physique > Physique statistique >]
Ausloos, Marcel mailto [Université de Liège - ULg > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S. >]
European Physical Journal B -- Condensed Matter
Springer Science & Business Media B.V.
Yes (verified by ORBi)
New York
[en] For foreign currency exchange rates; multi-affine analysis can put quantitatively into evidence the differences between correlated (daily closing market) values and random walks in time dependent data. The H(q) spectrum is presented and discussed here for the USD/DEM and JPY/USD exchange rates. The time-evolution of these ratios is found to be multi-affine. The h(gamma)-curve describing the hierarchy of exponents is numerically obtained. Our findings suggest that the modelling of exchange rate time-evolution from day to day is possible within the framework of modern statistical physics and related to models of turbulence in the physics of fluids. Finally, we argue that there is a multiplicity of information levels in the foreign exchange market such that the "efficient market theory" is a crude oversimplification indeed.
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