CORRELATIONS BETWEEN RECONSTRUCTED <i>EUR</i> EXCHANGE RATES VERSUS <i>CHF</i>, <i>DKK</i>, <i>GBP</i>, <i>JPY</i> AND <i>USD</i>
Marcel Ausloos|K. Ivanova
On Jan. 1, 1999 the European Union introduced a common currency Euro ($EUR$), to become legal in all eleven countries which form $EUR$. In order test $EUR$ behavior and understand various features, exchange rate is artificially extrapolated back 1993 by linear superposition of rates 11 currencies composing with respect several not belonging $EUR$, i.e. Swiss Franc ($CHF$), Danish Kroner ($DKK$), British Pound ($GBP$), Japanese Yen ($JPY$) U.S. Dollar ($USD$) interest for reasons given text. The distribution fluctuations shown be Gaussian central part distribution, having fat tails large size fluctuations. Within {\it Detrended Fluctuation Analysis} ($DFA$) statistical method we have obtained power law describing root-mean-square deviation as function time. For period between 1995 compared time-dependent exponent these that German Mark ($DEM$) French ($FRF$) been primarily leading rates, while Italian Lira ($ITL$) ($PTE$) Portuguese Escudo are less relevant from this point view. Technical considerations implementation conclusions. cases $DKK$ appear quite different other four major currencies.
International Journal of Modern Physics C|arXiv (Cornell University)|arXiv (Cornell University)