Multi-Fractality in Foreign Currency Markets [chapter]

Marco Corazza, A. G. Malliaris
2005 Economic Uncertainty, Instabilities and Asset Bubbles  
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
more » ... plore 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.
doi:10.1142/9789812701015_0011 fatcat:oapq5gyrgje6phswoldpbpezp4