Fractal Approach of the Nominal Exchange Rate Series Based on Hurst Exponent

The objective of this paper is to examine the behavior of the nominal exchange rate series between Indian Rupees and US Dollar by using fractal approach. Properties of the time series using this fractal method allows us to consider the important features ignored by the traditional time series analyses and focus on the utility of Hurst exponent intrinsic in financial time series in determining the persistency of Indian Rupees exchange rate at financial markets. This method allows us to analyse the properties of the time series and the utility of the Hurst exponent in financial time series is revealed the persistency of Indian rupees exchange rate in the market.