Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates

Muniandy, S. V.; Lim, Sungbin; Murugan, Rajasekaran

doi:10.1016/s0378-4371(01)00387-9

Cited by 74 publications

(26 citation statements)

References 25 publications

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“…For each profile, the Fourier amplitude spectrum is computed and represented in a double logarithmic scale. Then, we estimate the local Hölder function H(x) using an algorithm based on the local growth of the increment process S k,n (i) Lévy-Véhél, 1994, 1995;Muniandy et al, 2001;Li et al, 2008;:…”

Section: Application To Digitalized Core Image Datamentioning

confidence: 99%

Two-Dimensional Multifractional Brownian Motion- Based Investigation of Heterogeneities from a Core Image

Gaci¹,

Zaourar²

2011

Advances in Data, Methods, Models and Their Applications in Geoscience

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Section: Application To Digitalized Core Image Datamentioning

confidence: 99%

Two-Dimensional Multifractional Brownian Motion- Based Investigation of Heterogeneities from a Core Image

Gaci¹,

Zaourar²

2011

Advances in Data, Methods, Models and Their Applications in Geoscience

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“…is given by Lévy-Véhél, 1994, 1995;Muniandy et al, 2001 ;Li et al, 2007Li et al, , 2008Gaci et al, 2010):…”

Section: Impact Of the Pre-processings On The Fractal Properties Of Tmentioning

confidence: 99%

Regularity Analysis of Airborne Natural Gamma Ray Data Measured in the Hoggar Area (Algeria)

Gaci

Zaourar

Briqueu³

et al. 2011

Advances in Data, Methods, Models and Their Applications in Geoscience

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“…K. Ivanova , M. Ausloos [1] used the data for six years to make a empirical analysis of exchange rate movements, it is proved that the exchange rate is more consistent with the multi fractal Brownian motion. S. V. Muniandy, S. C. Lim, R. Murugan [2] used multi fractal Brownian motion model to do a empirical research on the influence of government's intervention policies on the exchange rate in the foreign exchange market in Malaysia.…”

Section: Introductionmentioning

confidence: 99%

Study on the Daily Exchange Rate Movement Based on the Model of Brownian Motion

Zhou¹,

Liu²

2016

Proceedings of the 2015 3rd International Conference on Education, Management, Arts, Economics and Social Science

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Abstract.Theory of Brownian motion is often used to describe the random phenomena of chaos and disorder. This paper tries to make an empirical study on the price of foreign exchange by using theory of Brownian motion. First of all, we use the theory to establish a model to describe the behavior of foreign currency prices.Then the data of the Euro against the US dollar, the Australian dollar against the US dollar and Gold against the US dollar closing price per hour is introduced to simulate the exchange rate by using the model. Finally, we will use the simulated price and the actual price to do a comparative analysis, including the error range, motion direction and inflection point. It was found that the simulation and the actual exchange rate very similar, the results show that this model can be used to forecast.

show abstract

Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates

Cited by 74 publications

References 25 publications

Two-Dimensional Multifractional Brownian Motion- Based Investigation of Heterogeneities from a Core Image

Two-Dimensional Multifractional Brownian Motion- Based Investigation of Heterogeneities from a Core Image

Regularity Analysis of Airborne Natural Gamma Ray Data Measured in the Hoggar Area (Algeria)

Study on the Daily Exchange Rate Movement Based on the Model of Brownian Motion

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