Scaling analysis on Indian foreign exchange market

Physica A: Statistical Mechanics and its Applications

Volumn 364, Issue , 2006, Pages 362-368

  Sarkar, A ^a   Barat, P ^a  

^a VARIABLE ENERGY CYCLOTRON CENTRE   (India)

Author keywords

Diffusion entropy analysis; Econophysics; Exchange rate; Standard deviation analysis

Indexed keywords

BEHAVIORAL RESEARCH; ECONOMIC AND SOCIAL EFFECTS; FINANCIAL DATA PROCESSING; MATHEMATICAL MODELS;

DIFFUSION ENTROPY ANALYSIS; ECONOPHYSICS; EXCHANGE RATE; FOREIGN CURRENCIES; PERSISTENCY; STANDARD DEVIATION ANALYSIS;

ECONOMICS;

EID: 33645146605     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.09.044     Document Type: Article

References (26)

1. R.N. Mantegna, and H.E. Stanley An Introduction to Econophysics: Correlations and Complexity in Finance 2000 Cambridge University Press Cambridge
2. M. Ausloos, and K. Ivanova Physica A 286 2000 353
3. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.K. Peng, and H.E. Stanley Phys. Rev. E 60 1999 1390
4. B.B. Mandelbort The Fractal Geometry of Nature 1982 W.H. Freeman New York
5. P. Bak, K. Christensen, L. Danon, and T. Scanlon Phys. Rev. Lett. 88 2002 178501
6. A.P. Siebesma, and H.J.J. Jonker Phys. Rev. Lett. 85 2000 214
7. S.N. Dorogovtsev, and J.F.F. Mendes Phys. Rev. E 63 2001 056125
8. P. Barat, A. Sarkar, P. Mukherjee, and S.K. Bandyopadhyay Phys. Rev. Lett. 94 2005 055502
9. U. Müller, M. Dacorogna, O.V. Pictet, M. Schwarz, and C. Morgenegg J. Banking Financ. 14 1990 1189
10. D.M. Guillaume, M. Dacorogna, U. Müller, and O.V. Pictet Financ. Stoch. 1 1997 95
11. M.M. Dacorogna, R. Gençay, U.A. Müller, R.B. Olsen, and O.V. Pictet An Introduction to High-Frequency Finance 2001 Academic Press San Diego
12. R.N. Mantegna, and H.E. Stanley Nature 376 1995 46
13. R. Gençay, F. Selçuk, and B. Whitcher Physica A 289 2001 249
14. B. LeBaron Volatility persistent and apparent scaling laws in finance 1999 Brandeis University manuscript
15. B. LeBaron Quant. Financ. 1 2001 621
16. H.E. Stanley, and V. Plerou Quant. Financ. 1 2001 563
17. K. Matia, M. Pal, H. Salunkay, and H.E. Stanley Europhys. Lett. 66 2004 909
18. Reserve Bank of India, www.rbi.org.in
19. N. Scafetta, P. Hamilton, and P. Grigolini Fractals 9 2001 193
20. N. Scafetta, and P. Grigolini Phys. Rev. E 66 2002 036130
21. N. Scafetta, V. Latora, and P. Grigolini Phys. Lett. A 299 2002 565
22. N. Scafetta, and B.J. West Phys. Rev. Lett. 92 2004 138501
23. P. Grigolini, D. Leddon, and N. Scafetta Phys. Rev. E 65 2002 046203
24. N. Scafetta, V. Latora, and P. Grigolini Phys. Rev. E 66 2002 031906
25. H.E. Hurst Proc. Am. Soc. Civil Eng. 76 1950 1
26. J.P. Nolan O.E. Barndorff-Nielsen T. Mikosch S. Resnick Levy Processes 2001 Springer New York