Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates

In this paper, we investigate the fractal scaling behaviors of foreign curr ency exchange rates with respect to Malaysian currency, Ringgit Malaysia. T hese time series are examined piecewise before and after the currency contr ol imposed in 1st September 1998 using the monofractal model based on fract ional Brownian motion. The global Hurst exponents are determined using the R/S analysis, the detrended fluctuation analysis and the method of second m oment using the correlation coefficients. The limitation of these monofract al analyses is discussed. The usual multifractal analysis reveals that ther e exists a wide range of Hurst exponents in each of the time series. A new method of modelling the multifractal time series based on multifractional B rownian motion with time-varying Hurst exponents is studied. (C) 2001 Elsev ier Science B.V. All rights reserved.