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Multifractal Measures for the Yen-Dollar Exchange Rate

Kyungsik Kim·Seong-Min Yoon·Jum-Soo Choi
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Abstract

We study the tick dynamical behavior of the yen-dollar exchange rate using the rescaled range analysis in financial market. It is found that the multifractal Hurst exponents with the short and long-run memory effects can be obtained from the yen-dollar exchange rate. This exists one crossover for the Hurst exponents at charateristic time scales, while the bond futures exists no crossover. Particularly, it is shown that the probability distribution of the yen-dollar exchange rate has one form of the Lorentz distribution rather than fat-tailed properties, which is similar to that of for the won-dollar exchange rate.

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Kyungsik Kim, Seong-Min Yoon, Jum-Soo Choi. 2004-05-09. Multifractal Measures for the Yen-Dollar Exchange Rate. https://doi.org/10.3938/jkps.44.643

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