@Article{mfj:715,
title={Multi-Fractality in Foreign Currency Markets},
author={Marco Corazza and A. Malliaris},
journal={Multinational Finance Journal},
volume={6},
number={2/2},
pages={65--98},
year=2002,
publisher={Multinational Finance Society; Global Business Publications},
url={http://www.mfsociety.org/../modules/modDashboard/uploadFiles/journals/MJ~694~p16takv1pdm0gb1m1fuanokkh31.pdf}
keywords={exponent of Hurst; fractional Brownian motion; multi-fractal market hypothesis; Pareto-Levy stable process; R/S analysis},
abstract={Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Lévy stable (PLs) distributed, whereas others have asserted that asset returns may be identically - but not independently - fractional Brownian motion (fBm) distributed with Hurst exponents, in both cases, that differ from 0.5. In this article we empirically explore such non-standard assumptions for both spot and (nearby) futures returns for five foreign currencies: the British Pound, the Canadian Dollar, the German Mark, the Swiss Franc, and the Japanese Yen. .},
}