Dresden 2011 – wissenschaftliches Programm
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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 11: Poster Session
SOE 11.13: Poster
Dienstag, 15. März 2011, 18:05–18:45, P2
Study of persistence in the foreign exchange market: analysis of the Hurst exponent — •Marcus Fernandes da Silva1 and José Garcia Vivas Miranda2 — 1Brazil — 2Brazil
This paper uses concepts of persistence to describe the behavior of currency fluctuations between the regimes of fixed Exchange rates and floating Exchange. Therefore, we used the Hurst exponent, which is a tool that can characterize the persistence of a particular profile. The first objective of this work is observes the behavior of the Hurst exponent in the switching between regimes of fixed exchange rates and floating exchange rate for the developing countries: Brazil, Mexico and Argentina. The second is to observe, also from the Hurst analysis, if there is a pattern behavior of floating exchange rate regime for the developed countries Canada and Australia if this happens, we will associate the efficiency of the foreign exchange market with the Hurst exponent. We observed a pattern behavior for the developed countries in the shift between the two exchange rate regimes. This pattern was characterized by persistence, followed by a rapid decrease antipersistentes values for and followed by a rapid increase to persistent values. It was observed that the Hurst exponent values for the developing countries distance themselves from 0.5 (ordinary Brownian motion) then the developed ones. This corroborates the hypothesis that the exchange market efficiency is associated with the ordinary Brownian motion.