Exchange Rate Dynamics (SPbSU Press, 2001)

Results of fractal analysis of currency exchange rate fluctuations in several groups of countries with different financial and economical systems during the period 1995-2000 are presented. We demonstrate that the C. K. Peng’s detrended fluctuation analysis can be used as a sensitive tool for identifying inflation trends and revealing unstable regimes in currency dynamics over broad range of temporal scales. The developed quantitative criteria allow to characterize the efficiency of the governmental monetary control under the conditions of economic crises and crashes of international and domestic monetary systems.

O. Y. Uritskaya & V. M. Uritsky. Fractal Analysis of Exchange Rate Dynamics in Countries with Different Monetary Systems // IV International Conference SCM 2001 (St.Peterburg, Russia). – St.Petersburg: SPbSU press, 2001. – v.2, p.188 – 191.

Full text (in Russian)

Exchange_Rate_Dynamics_Fig_1

Fig. 1. Distribution of fractal indices values 1 and 2 for fluctuations in exchange rates for the studied country groups. Data for the group 3 is shown in the table only.

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