Paper Info
Title
Subprime Mortgage Crisis Detection in U.S. Foreign Exchange Rate Market by Multifractal Analysis
Abstract
We apply multifractal methods to analyze the impact of American subprime mortgage crisis on American foreign exchange market. By analyzing the local Hölder exponent α and the multifractal spectrum of Japanese Yen to U.S. Dollar (USD/JPY) exchange rate and Euro to U.S. Dollar (EUR/USD) exchange rate ticked every hour from late 2006 to early 2008, we find that the periods where critical events took place are characterized by sudden increase in α, which passes above 1, followed by very small values for long period of time. To observe the effect and future trend of the subprime mortgage crisis, we compare the multifractal spectrum before, and during the crisis. The width of f(α) during subprime mortgage crisis is much bigger than the one before the crisis. These results provide solid and important values for further study on the dynamic mechanism of exchange market price fluctuation.
Year
DOI
Venue
2008
10.1109/ICYCS.2008.454
ICYCS
Keywords
Field
DocType
japanese yen,subprime mortgage crisis detection,multifractal method,exchange market price fluctuation,multifractal analysis,u.s. dollar,critical event,multifractal spectrum,exchange rate,subprime mortgage crisis,american foreign exchange market,american subprime mortgage crisis,u.s. foreign exchange rate,foreign exchange market,fractals,time series analysis,fluctuations,economics
Time series,Computer science,Foreign exchange market,Market price,Computer network,Monetary economics,Subprime mortgage crisis,Liberian dollar,Multifractal system,Foreign exchange,Exchange rate
Conference
Citations 
PageRank 
References 
0
0.34
0
Authors
5
Name
Order
Citations
PageRank
Junjun Tang110.76
Jing Wang227739.00
Cheng Huang300.34
Guolun Wang400.34
Xiong Wang501.01