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BUSINESS INFORM №11-2015

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20

Section: Economic and Mathematical Modeling
UDC 330.101.52: 336.76
Kravets T. V., Gaponenko T. O.
Fractal Analysis of Foreign Exchange Market by Means of Monitoring the Hurst Exponent (p. 125 - 131)

The article analyzes the behavior of currency quotations at the foreign exchange market by identifying dynamic changes in time, in terms of the Hurst exponent, as a tool of fractal analysis, belonging to the fractal market hypothesis. Calculations of Hurst exponent by the adjusted formulas of the R/S analysis for 17 major currency pairs at the closing prices as well as the prices of maximum/minimum have been carried out. A comparison of the results within the timespan of 2008-2014 has been conducted, providing for comparing the exponent value at the foreign exchange markets of different countries under different economic conditions. The Hurst exponent of currency pairs in terms of the stable economic situation tends to preserve its average value, further on, it indicates the events that directly or indirectly affect the State's economy and its national currency exchange rate. Application of the method of «sliding window» has allowed to simulate the dynamics of the Hurst exponent for the following currency pairs: USD/JPY, GBP/JPY, EUR/USD, GBP/USD and to set certain patterns of conduct for the quotes series resulting from the appropriate response to the economic, political and natural disturbances.
Keywords: fractal analysis, foreign exchange rates, crisis, Hurst exponent
Fig.: 4. Formulae: 3. Bibl.: 18.

Kravets Tetyana V. – Candidate of Sciences (Physics and Mathematics), Associate Professor, Associate Professor, Department of Economic Cybernetics, Taras Shevchenko National University of Kyiv (60 Volodymyrska Str., Kyiv, 01033, Ukraine)
Email: [email protected]
Gaponenko Tetyana O. – Student, Taras Shevchenko National University of Kyiv (60 Volodymyrska Str., Kyiv, 01033, Ukraine)
Email: [email protected]

Article is written in Ukrainan
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Reference to this article:
Kravets, Tetyana V., and Gaponenko, Tetyana O. (2015) “Fractal Analysis of Foreign Exchange Market by Means of Monitoring the Hurst Exponent.” Business Inform 11:125–131.


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