Eur. Phys. J. B 20, 537-541 (2001)
https://doi.org/10.1007/s100510170235

False Euro (FEUR) exchange rate correlated behaviors and investment strategy

¹ GRASP and SUPRAS, B5, Sart Tilman, 4000 Liège, Belgium
² Department of Meteorology, Pennsylvania State University, University Park, PA 16802, USA

Corresponding author: ^a marcel.ausloos@ulg.ac.be

Received: 31 August 2000
Published online: 15 April 2001

Abstract

We have searched for correlations and anticorrelations with respect to currencies as CHF, DKK, JPY, and USD in order to understand the EUR behavior. In order to do so we have invented a false euro (FEUR) dating back to 1993 and have derived simulated exchange rates of the FEUR. Within the Detrended Fluctuation Analysis (DFA) statistical method we have obtained the power law behavior describing the rms. deviation of the fluctuations as a function of time. We have compared the time-dependent exponent for these four exchange rates, and observe the role of the DEM, and the other currencies forming the EUR. A simple investment strategy based on the local DFA technique shows one can obtain appreciable gains, even taking into account some modest transaction fee. We compare the time dependent α exponent of the DFA for various exchange rates as in a correlation matrix for estimating respective influences.