Scaling in currency exchange

被引：79

作者：

Galluccio, S

Caldarelli, G

Marsili, M

Zhang, YC

机构：

[1] SISSA,ISAS,I-34014 TRIESTE,ITALY

[2] INFM,TRIESTE,ITALY

来源：

PHYSICA A | 1997年 / 245卷 / 3-4期

关键词：

scaling theory; random walks; diffusion processes;

D O I：

10.1016/S0378-4371(97)00316-6

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：423 / 436

页数：14

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