Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · cond-mat/0104260

Correlations Between Reconstructed EUR Exchange Rates vs. CHF, DKK, GBP, JPY and USD

M. Ausloos·K. Ivanova
View original source ↗Read source document ↗Export metadata ↓

Abstract

On Jan. 1, 1999 the European Union introduced a common currency Euro ($EUR$), to become the legal currency in all eleven countries which form the $EUR$. In order to test the $EUR$ behavior and understand various features, the $EUR$ exchange rate is artificially extrapolated back to 1993 by a linear superposition of the exchange rates of the 11 currencies composing $EUR$ with respect to several currencies not belonging to the $EUR$, i.e. Swiss Franc ($CHF$), Danish Kroner ($DKK$), British Pound ($GBP$), Japanese Yen ($JPY$) and U.S. Dollar ($USD$) of interest for reasons given in the text. The distribution of fluctuations of the exchange rates is shown to be Gaussian for the central part of the distribution, and having fat tails for the large size fluctuations. Within the {\it Detrended Fluctuation Analysis} ($DFA$) statistical method we have obtained the power law behavior describing the root-mean-square deviation of the exchange rate fluctuations as a function of time. For the period between Jan. 1995 and Jan. 1999 we have compared the time-dependent exponent of these exchange rate fluctuations for $EUR$ and that of the 11 currencies which form the $EUR$. The German Mark ($DEM$) and the French Franc ($FRF$) have been the currencies primarily leading the fluctuations of the exchange rates, while Italian Lira ($ITL$) and ($PTE$) Portuguese Escudo are the less relevant currencies from this point of view. Technical considerations for the $EUR$ implementation are given as conclusions. The cases of exchange rates with $DKK$ appear quite different from the other four major currencies.

Explore related subjects

cond-mat.stat-mechq-fin.ST

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

M. Ausloos, K. Ivanova. 2001-04-13. Correlations Between Reconstructed EUR Exchange Rates vs. CHF, DKK, GBP, JPY and USD. https://doi.org/10.1142/s0129183101001572

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

A General Solution for Network Models with Pairwise Edge Coupling

Network Models with couplings between link pairs are the simplest models for a class of networks with Higher Order interactions. In this paper we give an analytic, general solution to this family of Random Graph Models extending previous results obtained for specific interaction structures. We use the Hubbard-Stratonovich transform to show that such higher order models can be decoupled into families of effectively separable random graph models, which might be enhanced with auxiliary, possibly multi-valued, parameters identifying the thermodynamical phase of the system. Moreover, given the diagonalizability of couplings between links, we carry out the full computation of the partition functions and discuss why in some cases they can effectively reduce to the one for the Mean-Field case.

cond-mat.stat-mech↗
arXiv2026

Dynamic Eikonal Attenuation and Mutual Coherence of Quantum Particles due to Equilibrium Coulomb Fluctuations

We develop a dynamic theory of eikonal attenuation and mutual coherence for a quantum particle propagating through equilibrium Coulomb fluctuations. The one-particle length $\ell$ is the attenuation length of the ensemble-averaged retarded propagator, not an Anderson localization length or a transport mean free path. For a collisionless classical one-component plasma (OCP), the potential spectrum follows from the fluctuation--dissipation theorem and the RPA dielectric function. In suitable plasma parameter windows, both fast and slow probe regimes are physically meaningful. Fast probes recover the Coulomb logarithm with the dynamical infrared length $v/ω_{\rm p}$. Slow probes yield $G(v)\propto v$ and, in the controlled weak branch, $\ell\propto k$. We derive an exact finite-thickness mutual-coherence expression and a closed slow-regime transverse scaling function. Within the controlled slow-OCP and thick-slab window, the logarithmic two-ray visibility scales as $v^{-1}$ at fixed transverse separation, in contrast to the $v^{-2}$ dependence for frozen finite-slab fluctuations. For a symmetric diffusive electrolyte, linearized stochastic density functional theory gives the exact on-shell result $G_{\rm el}(v)=(m^2C/\hbar^4)\operatorname{arsinh}[v/(2Dκ)]$, where $C=k_{\mathrm B}Tq_0^2/(4π\varepsilon_b)$. For ordinary liquid electrolytes, the slow diffusive limit is inaccessible within the spatial eikonal regime and is therefore a formal asymptote. The physically relevant electrolyte limit is instead that of a fast probe, $v\gg Dκ$, where the diffusive charge relaxation generates an intrinsic infrared length $v/(Dκ^2)$ absent from the quasi-static theory.

cond-mat.stat-mech↗
arXiv2026

Planckian dissipation from classical hydrodynamics

Hydrodynamics describes the long-time, long-distance dynamics of interacting quantum systems by classical equations, yet at low temperature quantum fluctuations might eventually invalidate this classical picture. Here we ask what it takes for a quantum system to sustain a consistently classical hydrodynamic description. Our starting point is the quantum fluctuation-dissipation theorem which, when read in the time domain, acts as a blurring of the fine details of correlation functions on a Planckian time-scale. We analyse how this blurring interacts with the diffusive large-deviation form of correlators assuming the existence of a hydrodynamic light cone velocity, and show that the interior of the cone splits into a classical region, where correlation and response satisfy the classical fluctuation-dissipation relation, and a quantum region, where they deviate sharply from it. We illustrate the mechanism on three phenomenological hydrodynamic equations - diffusion, telegraph and diffusive-telegraph. Preserving a finite classical region as the temperature is lowered forces the current relaxation rate to be bounded from above by the Planckian rate. This bound connects to bounds on diffusivity, equilibration time and shear viscosity. In this way, a Planckian bound on dissipation emerges not as a quantum constraint on microscopic dynamics, but as the price a system pays to remain describable by classical hydrodynamics down to low temperatures.

cond-mat.stat-mech↗