Multi-Fractality in Foreign Currency Markets

34 Pages Posted: 8 Jul 2015

See all articles by Marco Corazza

Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia

A. (Tassos) G. Malliaris

Loyola University of Chicago - Department of Economics

Date Written: July 7, 2015

Abstract

Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Lévy stable (PLs) distributed, whereas others have asserted that asset returns may be identically -- but not independently -- fractional Brownian motion (fBm) distributed with Hurst exponents, in both cases, that differ from 0.5. In this article we empirically explore such non-standard assumptions for both spot and (nearby) futures returns for five foreign currencies: the British Pound, the Canadian Dollar, the German Mark, the Swiss Franc, and the Japanese Yen.

Keywords: exponent of Hurst; fractional Brownian motion; multi-fractal market hypothesis; Pareto-Levy stable process; R/S analysis

Suggested Citation

Corazza, Marco and Malliaris, A. (Tassos) G., Multi-Fractality in Foreign Currency Markets (July 7, 2015). Multinational Finance Journal, Vol. 6, No. 2, p. 65-98, 2002, Available at SSRN: https://ssrn.com/abstract=2627610

Marco Corazza (Contact Author)

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

A. (Tassos) G. Malliaris

Loyola University of Chicago - Department of Economics ( email )

16 E. Pearson Ave
Quinlan School of Business
Chicago, IL 60611
United States
312-915-6063 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
31
Abstract Views
390
PlumX Metrics