2009/10/01 by Arun Iyengar, A. N. Sekar Iyengar, Iyengar, A. N. Sekar · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Autoregressive conditional heteroskedasticity #Chaotic Dynamics (nlin.CD) #Complex Systems and Time Series Analysis #Computer science #Economics #Exchange rate #FOS: Economics and business #FOS: Physical sciences #Finance #Financial Risk and Volatility Modeling #Financial economics #Foreign exchange #Foreign exchange market #International economics #Liberian dollar #Market Dynamics and Volatility #Monetary economics #Pound (networking) #Rupee #Statistical Finance (q-fin.ST) #U.S. Dollar Index #Us dollar #Volatility (finance) #Volatility clustering #nlin.CD #q-fin.ST
paper · pdf · doi:10.48550/arxiv.0910.0087
published in arXiv (Cornell University) (Cornell University) · Time-Scale analysis, Intermittency, Nonlinearity, Chaos and finance
arxiv created 2009/10/01 · openalex publication_date 2009/10/01 · arxiv updated 2016/09/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/08
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been possible due to Continuous Wavelet Transform (CWT) analysis which has been popularly applied to fluctuating data in various fields science and engineering and is also being tried out in finance and economics. We have been able to qualitatively identify the presence of nonlinearity and chaos in the time series of the foreign exchange rates for US/EURO (United States dollar to Euro Dollar) and US/UK (United States dollar to United Kingdom Pound) currencies. Interestingly we find that for the US-INDIA(United States dollar to Indian Rupee) foreign exchange rates, no such chaotic dynamics is observed. This could be a result of the government control over the foreign exchange rates, instead of the market controlling them.