Sparseness and Roughness of Foreign Exchange Rates

An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponent H₁ which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittency C₁ has been also estimated. In the (H₁,C₁) phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value (H₁=0.5,C₁=0) and have a significantly intermittent component (C₁≠0).