The dynamical behavior of the currency exchange rate after its large-scale crash is studied. It is shown that, similarly to the case of the stock market crash investigated by Lillo and Mantegna Phys. Rev. E 68, 016119 (2003) , the relaxation is characterized by a power law, which is in analogy with the Omori-Utsu law for earthquake aftershocks. The waiting-time distribution is found to also obey a power law. Furthermore, the event-event correlation is discussed, and the aging phenomenon and scaling property are observed. Comments are made on (non-)Markovianity of the aftershock process and on a possible relevance of glassy dynamics to the market system after the crash.
The dynamical behavior of the currency exchange rate after its large-scale catastrophe is discussed through a case study of the rate of Russian rubles to US dollars after its crash in 2014. It is shown that, similarly to the case of the stock market crash , the relaxation is characterized by a power law, which is in analogy with the Omori-Utsu law for earthquake aftershocks. The waiting-time distribution is found to also obey a power law. Furthermore, the event-event correlation is discussed, and the aging phenomenon and scaling property are observed. Comments are made on (non-)Markovianity of the aftershock process and on a possible relevance of glassy dynamics to the market system after the crash.
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crash is studied.
catastrophe is discussed through a case study of the rate of Russian rubles to US dollars after its crash in 2014.
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investigated by Lillo and Mantegna
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Phys. Rev. E 68, 016119 (2003)