Statistical properties of the yuan exchange rate index

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 12, 2012, Pages 3503-3512

  Wang, Dong Hua ^a,b   Yu, Xiao Wen ^a   Suo, Yuan Yuan ^a  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Econophysics; Exchange rate index; Long range correlations; Multifractal analysis; Probability distribution

Indexed keywords

FRACTALS; PROBABILITY DISTRIBUTIONS; TIME SERIES;

DETRENDING MOVING AVERAGES; ECONOPHYSICSS; EXCHANGE RATE INDICES; FAT-TAILED DISTRIBUTIONS; LONG RANGE CORRELATIONS; MULTI-FRACTAL PROPERTY; MULTIFRACTAL ANALYSIS; RANDOMIZATION PROCEDURE;

FINANCE;

EID: 84862824949     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.01.054     Document Type: Article

References (76)

1. M. Ausloos, and K. Ivanova Correlations between reconstructed EUR exchange rates versus CHF, DKK, GBP, JPY, and USD Int. J. Modern Phys. C 12 2001 169 195 (Pubitemid 33690143)
2. Z.-X. Xu, and R. Genay Scaling, self-similarity and multifractality in FX markets Physica A 323 2003 578 590
3. S.-M. Yoon, J.S. Choi, C.C. Lee, M.-K. Yum, and K. Kim Dynamical volatilities for yendollar exchange rates Physica A 359 2006 569 575 (Pubitemid 41526271)
4. T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys The distribution of realized exchange rate volatility J. Am. Stat. Assoc. 96 453 2001 42 55
5. S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, and Y. Dodge Turbulent cascades in foreign exchange markets Nature 381 1996 767 770 (Pubitemid 26243111)
6. M. Ausloos Statistical physics in foreign exchange currency and stock markets Physica A 285 2000 48 65
7. M. Ausloos, and K. Ivanova Introducing false EUR and false EUR exchange rates Physica A 286 2000 353 366
8. S.V. Muniandy, S.C. Lim, and R. Murugan Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates Physica A 301 2001 407 428 (Pubitemid 33089175)
9. P. Norouzzadeh, and B. Rahmani A multifractal detrended fluctuation description of Iranian rialUS dollar exchange rate Physica A 367 2006 328 336 (Pubitemid 43674297)
10. K. Ivanova, and M. Ausloos Low q-moment multifractal analysis of Gold price, Dow Jones industrial average and BGL-USD exchange rate Eur. Phys. J. B 8 1999 665 669 (Pubitemid 129558538)
11. F. Schmitt, D. Schertzer, and S. Lovejoy Multifractal analysis of foreign exchange data Appl. Stoch. Models Data Anal. 15 1999 29 53
12. F.G. Schmitt, L. Ma, and T. Angounou Multifractal analysis of the dollaryuan and euroyuan exchange rates before and after the reform of the peg Quant. Finance 11 2011 505 513
13. R. Baviera, M. Pasquini, M. Serva, D. Vergni, and A. Vulpiani Correlations and multi-affinity in high frequency financial datasets Physica A 300 2001 551 557 (Pubitemid 32997818)
14. A.J. Fisher, L.E. Calvet, B.B. Mandelbrot, Multifractality of Deutschemark/US dollar exchange rates, cowles Foundation Discussion Paper No. 1166, September 15 1997. Available at SSRN: http://ssrn.com/abstract=78628.
15. R. Genay, F. Seluk, and B. Whitcher Scaling properties of foreign exchange volatility Physica A 289 2001 249 266 (Pubitemid 32035038)
16. R. Genay, F. Seluk, and B. Whitcher Differentiating intraday seasonalities through wavelet multi-scaling Physica A 289 2001 543 556 (Pubitemid 32092313)
17. R. Nekhili, A. Salih, and R. Genay Exploring exchange rate returns at different time horizons Physica A 313 2002 671 682
18. F. Seluk, and R. Genay Intraday dynamics of stock market returns and volatility Physica A 367 2006 375 387
19. C.-K. Peng, S.V. Buldyrev, S. Havlin, M. Simons, H.E. Stanley, and A.L. Goldberger Mosaic organization of DNA nucleotides Phys. Rev. E 49 1994 1685 1689
20. J.W. Kantelhardt, S.A. Zschiegner, E. Koscielny-Bunde, S. Havlin, A. Bunde, and H.E. Stanley Multifractal detrended fluctuation analysis of nonstationary time series Physica A 316 2002 87 114 (Pubitemid 35385237)
21. G.-F. Gu, and W.-X. Zhou Detrended fluctuation analysis for fractals and multifractals in higher dimensions Phys. Rev. E 74 2006 061104
22. A. Carbone Detrending moving average algorithm: a brief review Science and Technology for Humanity (TIC-STH) 2009 IEEE 691 696
23. N. Vandewalle, and M. Ausloos Crossing of two mobile averages: a method for measuring the roughness exponent Phys. Rev. E 58 1998 6832 6834 (Pubitemid 128591789)
24. E. Alessio, A. Carbone, G. Castelli, and V. Frappietro Second-order moving average and scaling of stochastic time series Eur. Phys. J. B 27 2002 197 200 (Pubitemid 135695353)
25. A. Carbone Algorithm to estimate the Hurst exponent of high-dimensional fractals Phys. Rev. E 76 2007 056703
26. C. Trk, A. Carbone, and B.M. Chiaia Fractal heterogeneous media Phys. Rev. E 81 2010 026706
27. G.-F. Gu, and W.-X. Zhou Detrending moving average algorithm for multifractals Phys. Rev. E 82 2010 011136
28. B. Podobnik, and H.E. Stanley Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series Phys. Rev. Lett. 100 2008 084102
29. B. Podobnik, D. Horvatic, A.M. Petersen, and H.E. Stanley Cross-correlations between volume change and price change Proc. Natl. Acad. Sci. USA 106 2009 22079 22084
30. B. Podobnik, I. Grosse, D. Horvatic, S. Ilic, P.Ch. Ivanov, and H.E. Stanley Quantifying cross-correlations using local and global detrending approaches Eur. Phys. J. B 71 2009 243 250
31. D. Horvatic, H.E. Stanley, and B. Podobnik Detrended cross-correlation analysis for non-stationary time series with periodic trends EPL (Europhys. Lett.) 74 2011 18007
32. W.-X. Zhou Multifractal detrended cross-correlation analysis for two nonstationary signals Phys. Rev. E 77 2008 066211
33. Z.-Q. Jiang, and W.-X. Zhou Multifractal detrending moving average cross-correlation analysis Phys. Rev. E 84 2011 016106
34. S. Shadkhoo, and G.R. Jafari Multifractal detrended cross-correlation analysis of temporal and spatial seismic data Eur. Phys. J. B 72 2009 679 683
35. Y.-D. Wang, Y. Wei, and C.-F. Wu Cross-correlations between Chinese A-share and B-share markets Physica A 389 2010 5468 5478
36. L.-Y. He, and S.-P. Chen Nonlinear bivariate dependency of price-volume relationships in agricultural commodity futures markets: a perspective from multifractal detrended cross-correlation analysis Physica A 390 2011 297 308
37. Y.-D. Wang, Y. Wei, and C.-F. Wu Detrended fluctuation analysis on spot and futures markets of west Texas intermediate crude oil Physica A 390 2011 864 875
38. M. Linden Estimating the distribution of volatility of realized stock returns and exchange rate changes Physica A 352 2005 573 583 (Pubitemid 40612625)
39. F. Lillo, and R.N. Mantegna Variety and volatility in financial markets Phys. Rev. E 62 2000 6126 6134 (Pubitemid 32033289)
40. F. Lillo, and R.N. Mantegna Ensemble properties of securities traded in the NASDAQ market Physica A 299 2001 161 167 (Pubitemid 33018365)
41. D. Sornette Why Stock Markets Crash: Critical Events in Complex Financial Systems 2003 Princeton University Press Princeton
42. G.-F. Gu, and W.-X. Zhou Statistical properties of daily ensemble variables in the Chinese stock markets Physica A 383 2007 497 506 (Pubitemid 47031555)
43. Y. Lee, L.A. Amaral, D. Canning, M. Meyer, and H.E. Stanley Universal features in the growth dynamics of complex organizations Phys. Rev. Lett. 81 1998 3275 3278 (Pubitemid 128629552)
44. D. Canning, L.A.N. Amaral, Y. Lee, M. Meyer, and H.E. Stanley Scaling the volatility of GDP growth rates Econ. Lett. 60 1998 335 341
45. M.H.R. Stanley, L.N. Amaral, S.V. Buldyrev, S. Havlin, H. Leschhorn, P. Maass, M.A. Salinger, and H.E. Stanley Scaling behaviour in the growth of companies Nature 379 1996 804 806 (Pubitemid 126528522)
46. B. Podobnik, D. Horvatic, F. Pammolli, F.-Z. Wang, H.E. Stanley, and I. Grosse Size-dependent standard deviation for growth rates: empirical results and theoretical modeling Phys. Rev. E 77 2008 056102
47. H.E. Hurst Long-term storage capacity of reservoirs Trans. Amer. Soc. Civil Eng. 116 1951 770 808
48. B.B. Mandelbrot, and J.R. Wallis Computer experiments with fractional Gaussian noise, part 2, rescaled ranges and spectra Water Resour. Res. 5 1969 242 259
49. B.B. Mandelbrot, and J.R. Wallis Robustness of the rescaled range R S in the measurement of noncyclic long run statistical dependence Water Resour. Res. 5 1969 967 988
50. S.V. Buldyrev, A.L. Goldberger, S. Havlin, R.N. Mantegna, M.E. Matsa, C.-K. Peng, M. Simons, and H.E. Stanley Long-range correlation properties of coding and noncoding DNA sequences: GenBank analysis Phys. Rev. E 51 1995 5084 5091
51. K. Hu, P.C. Ivanov, Z. Chen, P. Carpena, and H.E. Stanley Effect of trends on detrended fluctuation analysis Phys. Rev. E 64 2001 011114
52. J.W. Kantelhardt, E. Koscielny-Bunde, H.H.A. Rego, S. Havlin, and A. Bunde Detecting long-range correlations with detrended fluctuation analysis Physica A 295 2001 441 454 (Pubitemid 32495759)
53. Z. Chen, P.C. Ivanov, K. Hu, and H.E. Stanley Effect of nonstationarities on detrended fluctuation analysis Phys. Rev. E 65 2002 041107
54. A. Carbone, G. Castelli, and H.E. Stanley Analysis of clusters formed by the moving average of a long-range correlated time series Phys. Rev. E 69 2004 026105
55. S. Arianos, and A. Carbone Detrending moving average algorithm: a closed-form approximation of the scaling law Physica A 382 2007 9 15 (Pubitemid 46856063)
56. L.M. Xu, P.C. Ivanov, K. Hu, Z. Chen, A. Carbone, and H.E. Stanley Quantifying signals with power-law correlations: a comparative study of detrended fluctuation analysis and detrended moving average techniques Phys. Rev. E 71 2005 051101
57. P.C. Munoz, M.F. da Silva, J.V. Miranda, F. Claro, and R.G. Diniz Influence of government controls over the currency exchange rate in the evolution of Hurst's exponent: an autonomous agent-based model Physica A 386 2007 786 790
58. A. Sarkar, and P. Barat Scaling analysis on Indian foreign exchange market Physica A 364 2006 362 368
59. A.A. Tsonis, F. Hellera, H. Takayasub, K. Marumoc, and T. Shimizuc A characteristic time scale in dollaryen exchange rates Physica A 291 2001 574 582 (Pubitemid 32263029)
60. L. Calvet, and A. Fisher Multifractality in asset returns: theory and evidence Rev. Econ. Stat. 84 2002 381 406
61. M. Ausloos, and K. Ivanova Multifractal nature of stock exchange prices Comput. Phys. Commun. 147 2002 582 585 (Pubitemid 34822777)
62. K. Matia, Y. Ashkenazy, and H.E. Stanley Multifractal properties of price fluctuations of stock and commodities EPL (Europhys. Lett.) 61 2003 422 428 (Pubitemid 36209155)
63. A. Turiel, and C.J. Prez-Vicente Role of multifractal sources in the analysis of stock market time series Physica A 355 2005 475 496 (Pubitemid 40940862)
64. P. Owiecimka, J. Kwapie, S. Drod, and R. Rak Investigating multifractality of stock market fluctuations using wavelet and detrending fluctuation methods Acta Phys. Pol. B 36 2005 2447 2457
65. Z.-Q. Jiang, and W.-X. Zhou Scale invariant distribution and multifractality of volatility multiplier in stock markets Physica A 381 2007 343 350 (Pubitemid 46829653)
66. G. Lim, S. Kim, H. Lee, K. Kim, and D.-I. Lee Multifractal detrended fluctuation analysis of derivative and spot markets Physica A 386 2007 259 266 (Pubitemid 47539782)
67. Z.-Q. Jiang, and W.-X. Zhou Multifractality in stock indexes: fact or fiction? Physica A 387 2008 3605 3614
68. Z.-Q. Jiang, and W.-X. Zhou Multifractal analysis of Chinese stocks based on partition function approach Physica A 387 2008 4881 4888
69. Z.-Y. Su, and Y.-T. Wang An investigation into the multifractal characteristics of the TAIEX stock exchange index in Taiwan J. Korean Phys. Soc. 54 2009 1385 1394
70. S.-P. Chen, and L.-Y. He Multifractal spectrum analysis of nonlinear dynamical mechanisms in China's agricultural futures markets Physica A 389 2010 1434 1444
71. A.Y. Schumann, and J.W. Kantelhardt Multifractal moving average analysis and test of multifractal model with tuned correlations Physica A 390 2011 2637 2654
72. Y.-P. Ruan, and W.-X. Zhou Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant Physica A 390 2011 1646 1654
73. Y.-D. Wang, C.-F. Wu, and Z.-Y. Pan Multifractal detrending moving average analysis on the US dollar exchange rates Physica A 390 2011 3512 3523
74. J. Theiler, S. Eubank, A. Longtin, B. Galdrikian, and J.D. Farmer Testing for nonlinearity in time series: the method of surrogate data Physica D 58 1992 77 94
75. P. Norouzzadeh, W. Dullaert, and B. Rahmani Anti-correlation and multifractal features of Spain electricity spot market Physica A 380 2007 333 342 (Pubitemid 46694238)
76. W.-X. Zhou The components of empirical multifractality in financial returns EPL (Europhys. Lett.) 88 2009 28004