Aftershocks following crash of currency exchange rate: The case of RUB/USD in 2014

TL;DR

This paper analyzes the post-crash dynamics of the RUB/USD exchange rate in 2014, revealing power-law relaxation, waiting-time distributions, and aging phenomena similar to earthquake aftershocks and glassy systems.

Contribution

It introduces a novel analogy between currency exchange rate aftershocks and earthquake aftershocks, highlighting power-law behaviors and complex dynamics post-crash.

Findings

Power-law relaxation similar to Omori-Utsu law.

Waiting-time distribution follows a power law.

Evidence of aging and scaling phenomena.

Abstract

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.