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Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997

Author

Listed:
  • Jeyanthi Karuppiah

    (Nanyang Business School, Nanyang Technological University, Singapore)

  • Cornelis A. Los

    (School of Economics, University of Adelaide)

Abstract

FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet multiresolution analysis, with Haar wavelets, to analyze the nonstationarity (time-dependence) and self-similarity (scale-dependence) of intra-day Asian currency spot exchange rates.

Suggested Citation

  • Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics and Public Policy Working Papers 2000-06, University of Adelaide, School of Economics and Public Policy.
    • Handle: RePEc:adl:wpaper:2000-06
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    File URL: https://media.adelaide.edu.au/economics/papers/doc/wp2000-06.pdf
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    References listed on IDEAS

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    Cited by:

    1. Cornelis A. Los, 2000. "Visualization of Chaos for Finance Majors," School of Economics and Public Policy Working Papers 2000-07, University of Adelaide, School of Economics and Public Policy.

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    More about this item

    Keywords

    foreign exchange; anti-persistence; multi-resolution analysis; wavelets; Asia;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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