Scaling, self-similarity and multifractality in FX markets

DOI10.1016/S0378-4371(03)00030-XzbMath1072.91604OpenAlexW3121725745MaRDI QIDQ1873901

Zhaoxia Xu, Ramazan Gençay

Publication date: 21 May 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00030-x

zbMATH Keywords

cumulative return distributionsmean return momentUS Dollar-Deutschemark returns

Mathematics Subject Classification ID

Trade models (91B60)

Related Items (9)

Statistical tests of distributional scaling properties for financial return series ⋮ Modelling stock price movements: multifractality or multifractionality? ⋮ Detecting multifractal stochastic processes under heavy-tailed effects ⋮ Empirical scaling laws and the aggregation of non-stationary data ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method ⋮ International finance, Lévy distributions, and the econophysics of exchange rates ⋮ Apparent multifractality of self-similar Lévy processes ⋮ EMPIRICAL TESTING OF MULTIFRACTALITY OF FINANCIAL TIME SERIES BASED ON WTMM

Cites Work

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• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Scaling properties of foreign exchange volatility
• Scaling and universality in economics: empirical results and theoretical interpretation
• Stochastic volatility as a simple generator of apparent financial power laws and long memory
• Portfolio Analysis in a Stable Paretian Market

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