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

Volume

2

fYear

2009

fDate

7-8 March 2009

Firstpage

599

Lastpage

602

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/ETCS.2009.394

Filename

4959109