Volume 121, Number 4, February 2018
|Number of page(s)||4|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||10 April 2018|
Aftershocks following crash of currency exchange rate: The case of RUB/USD in 2014
1 Institute of Physics, Kazan Federal University - Kazan 420008, Russia
2 Physics Division, College of Information Science and Engineering, Huaqiao University - Xiamen 361021, China
3 Department of Physical Engineering, Mie University - Mie 514-8507, Japan
Received: 10 January 2018
Accepted: 18 March 2018
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.
PACS: 89.75.-k – Complex systems / 89.75.Da – Systems obeying scaling laws / 89.65.-s – Social and economic systems
© EPLA, 2018
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