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A multifractal analysis of Asian foreign exchange markets
G. Oh1, C. Eom2, S. Havlin3,4, W.-S. Jung5,6a, F. Wang4, H.E. Stanley4 and S. Kim5
1 Division of Business Administration, Chosun University, 501-759 Gwangju, Republic of Korea
2 Division of Business Administration, Pusan National University, 609-735 Busan, Republic of Korea
3 Center for Polymer Studies and Department of Physics, Boston university, Boston, 02215 MA, USA
4 Minerva Center and Department of Physics, Bar-Ilan University, 52900 Ramat-Gan, Israel
5 Department of Physics, Pohang University of Science and Technology, 790-784 Pohang, Republic of Korea
6 Graduate Program for Technology and Innovation Management, Pohang University of Science and Technology, 790-784 Pohang, Republic of Korea
Received: 14 July 2011
Received in final form: 20 April 2012
Published online: 25 June 2012
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States in the period from 1991 until 2005. We find that the return time series show multifractal spectrum features for all four cases. To observe the effect of the Asian currency crisis, we also estimate the multifractal spectra of limited series before and after the crisis. We find that the Korean and Thai foreign exchange markets experienced a significant increase in multifractality compared to Hong-Kong and Japan. We also show that the multifractality is stronger related to the presence of high values of returns in the series.
Key words: Statistical and Nonlinear Physics
© EDP Sciences, Società Italiana di Fisica and Springer-Verlag, 2012