New Data from Wavelet Analysis on the Dynamics of Changes in the International Currency Market

Abstract

The foreign exchange market is one of the important segments of the financial market. Such attention to the foreign exchange market is due to the fact that it provides stable economic and organizational relationships in the implementation of transactions for the purchase or sale of foreign currency. This, in turn, has a significant impact on the development of international economic relations. Thus, the analysis of the foreign exchange market plays an important role in the evaluation of various economic processes. To analyze the situation in the foreign exchange market, it is necessary to have primary data. As a source of primary data for the foreign exchange market are empirical data on the dynamics of the exchange rate. At the same time, it is necessary to know the dynamics of the exchange rate from the point of view of different countries. This increases the reliability of the results that can be obtained from the corresponding analysis. We can also evaluate the mutual influence on the dynamics of exchange rates from the point of view of individual countries. For such an analysis, we use the ideology of wavelets. This ideology allows the analysis of data presented as a time series. Among the methods of wavelet ideology, we consider wavelet coherence. This approach allows us to evaluate the mutual dynamics of exchange rates for different countries. The paper presents the results for real data. The paper presents many graphs and diagrams that allow you to better understand the progress of our study, interpret the results.