DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, CH | ko |
dc.contributor.author | Kim, Soo Yong | ko |
dc.contributor.author | Chang, KH | ko |
dc.contributor.author | Kim, K | ko |
dc.date.accessioned | 2013-03-06T10:02:49Z | - |
dc.date.available | 2013-03-06T10:02:49Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2007-07 | - |
dc.identifier.citation | JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.51, pp.245 - 248 | - |
dc.identifier.issn | 0374-4884 | - |
dc.identifier.uri | http://hdl.handle.net/10203/86636 | - |
dc.description.abstract | We mainly study the dynamical behavior of four exchange rates, i.e., the won-dollar, won-yen, won-yuen. and won-pound exchange rates, among twenty exchange rates in foreign exchange markets. A detrended fluctuation analysis (DFA) is applied to detect the long-range correlation embedded in the non-stationary time series. It is for our case found that there exists a persistent long-range correlation in volatilities, which implies a deviation from the efficient market hypothesis. Particularly, a crossover is shown to exist in the scaling behaviors of the volatilities. | - |
dc.language | English | - |
dc.publisher | KOREAN PHYSICAL SOC | - |
dc.subject | PRICE-INDEX | - |
dc.subject | BEHAVIOR | - |
dc.title | Scaling exponents in foreign exchange markets | - |
dc.type | Article | - |
dc.identifier.wosid | 000248062900042 | - |
dc.identifier.scopusid | 2-s2.0-34547700426 | - |
dc.type.rims | ART | - |
dc.citation.volume | 51 | - |
dc.citation.beginningpage | 245 | - |
dc.citation.endingpage | 248 | - |
dc.citation.publicationname | JOURNAL OF THE KOREAN PHYSICAL SOCIETY | - |
dc.contributor.localauthor | Kim, Soo Yong | - |
dc.contributor.nonIdAuthor | Kim, CH | - |
dc.contributor.nonIdAuthor | Chang, KH | - |
dc.contributor.nonIdAuthor | Kim, K | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | detrended fluctuation analysis | - |
dc.subject.keywordAuthor | exchange rates | - |
dc.subject.keywordAuthor | scaling exponent | - |
dc.subject.keywordAuthor | random sequence data | - |
dc.subject.keywordPlus | PRICE-INDEX | - |
dc.subject.keywordPlus | BEHAVIOR | - |
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