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Zbl 0986.91042
Muniandy, S.V.; Lim, S.C.; Murugan, R.
Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates. (English)
[J] Physica A 301, No.1-4, 407-428 (2001). ISSN 0378-4371

Summary: In this paper, we investigate the fractal scaling behaviors of foreign currency exchange rates with respect to Malaysian currency, Ringgit Malaysia. These time series are examined piecewise before and after the currency control imposed in 1st September 1998 using the monofractal model based on fractional Brownian motion. The global Hurst exponents are determined using the R/S analysis, the detrended fluctuation analysis and the method of second moment using the correlation coefficients. The limitation of these monofractal analyses is discussed. The usual multifractal analysis reveals that there exists a wide range of Hurst exponents in each of the time series. A new method of modelling the multifractal time series based on multifractional Brownian motion with time-varying Hurst exponents is studied.

MSC 2000:: *91B84 Economic time series analysis

Keywords: fractal scaling; time series; global Hurst exponents

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