Title :
An Analysis on the Chaos Behavior of Currency Exchange Rate Undulation
Author :
Ding, Yi ; Li, Shucheng ; Li, Lin
Author_Institution :
Sch. of Bus. Adm., Hunan Univ., Changsha
Abstract :
The dynamical theory of chaos is the new analysis method of study on the exchange rate undulation in the foreign exchange market. In order to study the chaos behavior of the Euro exchange rate, this paper put the purchase price of the RMB to the Euro as the sample and analyzes the nonlinear character of the Euro exchange rate. This paper figures out the Hurst exponent by the R/S analysis and confirms the chaos behavior of the Euro exchange rate accordingly, and then the paper tests the nonlinear character of the Euro exchange rate by the GARCH Model at finally.
Keywords :
chaos; exchange rates; statistical analysis; Euro currency exchange rate undulation; Hurst exponent; R/S analysis; RMB purchase price; chaos behavior analysis method; foreign exchange market; Autocorrelation; Chaos; Computer science education; Economic forecasting; Exchange rates; Macroeconomics; Mathematical model; Power system modeling; Predictive models; Time series analysis; Chaos Behavior; Exchange rate undulation; R/S Analysis;
Conference_Titel :
Education Technology and Computer Science, 2009. ETCS '09. First International Workshop on
Conference_Location :
Wuhan, Hubei
Print_ISBN :
978-1-4244-3581-4
DOI :
10.1109/ETCS.2009.394
