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- W2890465974 abstract "Scaling invariance in exchange rate series can shed light on the nonefficiency of foreign exchange markets and be used subsequently in prediction. Extensive works have been done to evaluate scaling exponents from exchange rate series with lengths covering several decades or more, during which great changes may have occurred in society, economics, and finance. A natural question is whether the scaling invariance exists in every short time period, and how it evolves? In this paper, the correlation-corrected balanced estimation of diffusion entropy (cBEDE) is used to evaluate local scaling behavior embedded in exchange rate series and its evolution. A total of six exchanges between the most important currencies in about 20 years are investigated. It is found that all the three-year segments behave scale-invariant. The evolution of the scaling behavior displays rich patterns at different time scales. Especially, in the periods corresponding to the famous events in the global financial system, the scaling behavior has distinct patterns such as a monotonic increase or decrease, a valley, or a peak. We hope our work can stimulate much more works on evolutionary processes of financial systems." @default.
- W2890465974 created "2018-09-27" @default.
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- W2890465974 date "2019-03-01" @default.
- W2890465974 modified "2023-10-16" @default.
- W2890465974 title "EVOLUTION OF SCALING BEHAVIORS IN CURRENCY EXCHANGE RATE SERIES" @default.
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- W2890465974 doi "https://doi.org/10.1142/s0218348x19500051" @default.
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