Sparseness and Roughness of Foreign Exchange Rates

Abstract

An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponent H1which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittency C1has been also estimated. In the (H1,C1) phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value (H1=0.5,C1=0) and have a significantly intermittent component (C1≠0).