Aftershocks following crash of currency exchange rate: The case of RUB/USD in 2014. (10th April 2018)

• Record Type: Journal Article
• Authors: Usmanova, Vasilya; Lysogorskiy, Yury V.; Abe, Sumiyoshi
• Is Part Of: Europhysics letters. Volume 121:Number 4(2018:Feb.)
• Publication Date: 2018-04-10
• Subjects: 89.75.-k -- 89.75.Da -- 89.65.-s; Physics -- Periodicals; Electronic journals; 530.05
• DOI: 10.1209/0295-5075/121/48001
• Languages: English
• ISSNs: 0295-5075

Abstract

Abstract: 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.