2004/06/17 by Robert Kitt, R. Kitt, Jaan Kalda +1 · 1 citation
Computer Science · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Complex Systems and Time Series Analysis #Currency #Econometrics #Economics #Exchange rate #Finance #Financial Risk and Volatility Modeling #Geology #Mathematics #Scaling #Series (stratigraphy) #Statistics #Stock exchange #Time Series Analysis and Forecasting #Time series #cond-mat.stat-mech #q-fin.ST
paper · pdf · doi:10.1016/j.physa.2004.07.015
published as Physica A, 345, 2005, 622 · 14 pages, 5 figures, 3 tables, Submitted to Physica A
arxiv created 2004/06/17 · openalex publication_date 2004/08/11 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-series than the traditional multi-affine analysis. We have applied this scaling analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.