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The European Physical Journal B
ISSN: 1434-6028 (printed version)
ISSN: 1434-6036 (electronic version)
Abstract Volume 4 Issue 2 (1998) pp 257-261
Multi-affine analysis of typical currency exchange rates
N. Vandewalle (a), M. Ausloos
SUPRAS, Institut de Physique B5, Université de Liège, 4000 Liège, Belgium
Received: 25 September 1997 / Revised: 13 January 1998 / Accepted: 26 March 1998
Abstract: 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.
PACS. 05.40.+j Fluctuation phenomena, random processes, and Brownian motion - 01.75.+m Science and society
(a) email: vandewal@gw.unipc.ulg.ac.be
Article in PDF-Format (235 KB)
Online publication: August 10, 1998
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