False Euro (FEUR) exchange rate correlated behaviors and investment strategy
GRASP and SUPRAS, B5, Sart Tilman, 4000
2 Department of Meteorology, Pennsylvania State University, University Park, PA 16802, USA
Corresponding author: a firstname.lastname@example.org
Published online: 15 April 2001
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.
PACS: 05.45.Tp – Time series analysis / 05.45.Gg – Control of chaos, applications of chaos / 74.40.+k – Fluctuations (noise, chaos, nonequilibrium superconductivity, localization, etc.)
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2001