摘要翻译：
我们提出了一种新的技术来检测金融时间序列中的美元-欧元（美国/欧元）外汇汇率数据的间歇性，使用统计和光谱技术的结合。由于连续小波变换(CWT)分析已经成为可能，它已广泛应用于各种科学和工程领域的波动数据，也正在金融和经济领域进行尝试。我们能够定性地确定美国/欧元（美元对欧元）和美国/英国（美元对英国英镑）货币汇率的时间序列中存在非线性和混乱。有趣的是，我们发现，对于美国-印度（美元对印度卢比）的外汇汇率，没有观察到这种混乱的动态。这可能是ZF控制汇率的结果，而不是市场控制汇率。
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英文标题：
《Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates》
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作者：
A.N.Sekar Iyengar
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Chaotic Dynamics        混沌动力学
分类描述：Dynamical systems, chaos, quantum chaos, topological dynamics, cycle expansions, turbulence, propagation
动力系统，混沌，量子混沌，拓扑动力学，循环展开，湍流，传播
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英文摘要：
  We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been possible due to Continuous Wavelet Transform (CWT) analysis which has been popularly applied to fluctuating data in various fields science and engineering and is also being tried out in finance and economics. We have been able to qualitatively identify the presence of nonlinearity and chaos in the time series of the foreign exchange rates for US/EURO (United States dollar to Euro Dollar) and US/UK (United States dollar to United Kingdom Pound) currencies. Interestingly we find that for the US-INDIA(United States dollar to Indian Rupee) foreign exchange rates, no such chaotic dynamics is observed. This could be a result of the government control over the foreign exchange rates, instead of the market controlling them.
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PDF链接：
https://arxiv.org/pdf/0910.0087