fractal and fractional

Article
Day of the Week Effect on the World Exchange Rates through
Fractal Analysis
Werner Kristjanpoller 1, * and Benjamin Miranda Tabak 2

1 Departamento de Industrias, Universidad Tecnica Federico Santa Maria, Valparaiso 2390123, Chile
2 Fundação Getúlio Vargas, Escola de Políticas Públicas e Governo, Brasília 70830-020, DF, Brazil;
[email protected] or [email protected]
* Correspondence: [email protected]

Abstract: The foreign exchange rate market is one of the most liquid and efficient. In this study,
we address the efficient analysis of this market by verifying the day-of-the-week effect with fractal
analysis. The presence of fractality was evident in the return series of each day and when analyzing
an upward trend and a downward trend. The econometric models showed that the day-of-the-week
effect in the studied currencies did not align with previous studies. However, analyzing the Hurst
exponent of each day revealed that there a weekday effect in the fractal dimension. Thirty main world
currencies from all continents were analyzed, showing weekday effects according to their fractal
behavior. These results show a form of market inefficiency, as the returns or price variations of each
day for the analyzed currencies should have behaved similarly and tended towards random walks.
This fractal day-of-the-week effect in world currencies allows us to generate investment strategies
and to better complement or support buying and selling decisions on certain days.

Keywords: calendar anomalies; day-of-the-week effect; market indices; multifractal detrended

fluctuation analysis

1. Introduction
In an integrated global economy, growing trade relations and easier access to financial
Citation: Kristjanpoller, W.; Miranda
markets, currencies, and exchange rates are fundamental elements in the composition
Tabak, B. Day of the Week Effect on
of economic results and investment performance, influencing trade flows, investment
the World Exchange Rates through
decisions, and general economic stability. The dynamic nature of exchange rates reflects the
Fractal Analysis. Fractal Fract. 2024, 8,
complex interactions between various economic, financial, and geopolitical factors, making
340. https://doi.org/10.3390/
them a topic of great interest to policymakers, businesses, and investors that impact both
fractalfract8060340
individuals and companies.
Academic Editor: Jae Wook Song Currencies, or foreign exchange markets, are very deep financial markets, which
means that they should be efficient. When currencies are traded on the market, supply and
Received: 10 May 2024
Revised: 31 May 2024
demand usually work without anomalies, with the exception of those currencies which,
Accepted: 3 June 2024
according to their exchange regime, may experience intervention (mainly from a central
Published: 6 June 2024 bank) or not be freely traded on the market. Economic fundamentals such as interest
rates, inflation, and growth prospects play a crucial role in the supply and demand of
currencies, and consequently in exchange rate movements. In addition, market sentiment,
investor expectations, and geopolitical events can influence exchange rates in the short term,
Copyright: © 2024 by the authors. creating volatility and uncertainty in currency markets. Goodell et al. [1] have summarized
Licensee MDPI, Basel, Switzerland. several studies on investor emotions and market anomalies.
This article is an open access article Financial markets are often considered efficient, with prices fully reflecting all available
distributed under the terms and information, as suggested by the efficient market hypothesis (EMH). However, empirical
conditions of the Creative Commons
evidence suggests that financial markets are not always efficient, and that there may be
Attribution (CC BY) license (https://
anomalies in the form of persistent patterns or behaviors that traditional financial theories
creativecommons.org/licenses/by/
cannot explain. These anomalies challenge the notion of market efficiency and have
4.0/).

Fractal Fract. 2024, 8, 340. https://doi.org/10.3390/fractalfract8060340 https://www.mdpi.com/journal/fractalfract

Fractal Fract. 2024, 8, 340 2 of 26

important implications for investors, portfolio managers, and financial policymakers. The
exchange rate market has previously been studied with respect to its efficiency [2–10].
One way to show that markets are inefficient is by showing evidence of market anoma-
lies, particularly evidence of asset prices consistently exhibiting patterns or behaviors that
defy rational expectations or traditional economic theories. These anomalies can manifest
in various ways, from predictable stock price patterns to abnormal trading behavior and
asset pricing inefficiencies. One of the most well-known and studied types consists of
calendar anomalies, particularly the day-of-week effect. Several works have studied this
effect in different financial markets, equity markets [11–14], commodity markets [15–17],
interest rates [18], US REITs [19], and even in the context of the effect of the COVID-19
pandemic on stock markets [20].
One innovative approach to addressing these anomalies is through fractal analysis,
which explores self-similar patterns and structures that manifest across different time scales
in financial data. Fractals offer a robust framework for capturing the complex dynamics
of market prices, revealing hidden relationships and patterns that traditional methods
might miss. Although fractals have previously been applied to the analysis of financial
markets [21–32], only a few studies have applied fractals to determine the anomaly of the
weekday effect.
Stosic et al. [33] applied multifractal detrended fluctuation analysis (MF-DFA) to the
daily returns of market indices worldwide, finding that the returns on Mondays tend to be
more persistent and to possess a higher degree of multifractality than returns on the other
days. Plastun et al. [34] studied developed and emerging stock, FOREX, commodity, and
cryptocurrency markets and found differences in persistence intensity depending on the
day and market being analyzed. Sakalauskas et al. [35] analyzed the day-of-week effect in
emerging financial markets, showing that the Hurst exponent differs depending on the day.
For their part, Bolek et al. [36] analyzed the efficiency effect and the day-of-week effect for
OMX exchange indices during the COVID-19 pandemic, finding different fractal behavior
for different days.
The significance of studying the anomalies in the currency market cannot be under-
stated. It is crucial to determine the level of efficiency in the market, the potential of
investors to devise investment strategies, and the design of more effective instruments for
risk hedging in currency portfolios. This knowledge also influences investment decisions,
remittance settlement choices, and the commercial financial policies of companies involved
in import and export.
Most articles on the fractal efficient market hypothesis test whether markets can be
considered efficient by measuring the value of the Hurst exponent and testing whether it
is different from 0.5 (the coefficient of a random walk process). Suppose that the market
or financial asset under analysis has a coefficient above 0.5; in this case, we say that the
asset has long-term persistence, while if it is below 0.5 then the asset is anti-persistent. This
logic allows for a better understanding of market behavior and opens up the potential for
building profitable trading strategies for financial assets. If H > 0.5, then investors can use
momentum strategies to make investment decisions. If H < 0.5, then investors can instead
use a mean-reversion strategy. Both of these approaches have shown potential profitability.
The same idea can be used to analyze pairs of financial assets. If the difference between
asset prices has a coefficient of H < 0.5, then investors can develop buying and short-selling
strategies for these assets based on a predicted reversion to the mean. If the prices diverge,
then an investment strategy can instead be set up on the basis that the difference between the
prices will revert to the mean. Ramos-Requena et al. [37] developed a pair trading strategy
using these ideas and demonstrated that these strategies can be considered profitable. Other
researchers, such as Guasoni et al. [38] and Garcin et al. [39], have also developed strategies
that take into account the fractal nature of financial time series, which can allow for future
price forecasting and help to position buying or short-selling signals for investors.
In the case of financial assets with multifractal characteristics, a single Hurst coefficient
cannot explain the temporal dynamics. There are times when the coefficients change
Fractal Fract. 2024, 8, 340 3 of 26

significantly. In this case, a logic similar to that of single-fractal markets can be employed.
It is possible to use the idea that coefficients that deviate from 0.5 lead to trading strategies
that can generate abnormal profits; in other words, it is possible to build strategies that bet
on either mean reversion (anti-persistence) or even moments (persistence).
Dewandaru et al. [40] used this idea to construct an indicator of the efficiency of a
financial asset as D = 1/2(|H(−q) − 0.5| + |H(q) − 0.5|). In this case, using a choice of
q = 4, an efficiency indicator D = 1/2(|H(−4) − 0.5| + |H(4) − 0.5|) is applied, which
measures the distance of H from the random walk benchmark of 0.5 in the case of small and
large fluctuations, respectively. As D moves away from zero, there should be opportunities
to build trading strategies. The authors found that their proposed strategy can generate
significant profits compared to passive investment based on the market index. Here, we
focus on testing how the fractal dimension changes over the days of the week. We leave the
construction of specific strategies to further research, as it is a theme that demands several
additional considerations.
The novelty of this study is that is addresses the day-of-the-week analysis using
fractal theory for thirty currencies from around the world. We analyze the generalized
Hurst exponent with a confidence interval in order to distinguish behaviors with statistical
significance, thereby expanding the field of study of econophysics.
The rest of this paper consists of a Methodology section, where the foundations of the
generalized Hurst exponent are explained, an Analysis of Results section, which provides
an in-depth analysis of the series of variations of the studied exchange rates along with the
obtained results, and a Conclusions section which discusses the results and highlights the
main findings.

2. Materials and Methods

Multi-Fractal Detrended Fluctuation Analysis (MFDFA) allows the asymmetric mul-
tifractal characteristics of time series to be examined. This method was introduced by
Peng et al. [41] as Detrended Fluctuation Analysis (DFA) and generalized by Kantelhardt
et al. [42] as MFDFA. The method performs well even with highly nonstationary series,
and is based on five steps.
For a time series xi with a length of N observations, the method can be summarized as
follows:
• Step 1: Construct the profile

i
X (i ) = ∑ (xt − x), i = 1, ..., N, (1)
t =1

where x represents the series average of time series xi .

• Step 2: Divide the profiles X (i ) into Ns = [ N/s] non-overlapping windows of equal
length s. Because the length of the series N is not necessarily a multiple of the time
scale s, parts of the profile may remain at the end; thus, the same procedure is applied
from the end of the series as well. The final result is 2Ns segments.
• Step 3: The trend X v (i ) for each of the 2Ns segments is estimated using a linear
regression as X v (i ) = a X v + bX v ·i. This process precedes the determination of the
detrended variance, calculated as

1 s
[ X [(v − 1)s + i ] − X v (i )]2
s i∑
F (v, s) = (2)
=1

for each segment v, v = 1, · · · , Ns and

1 s
[ X [ N − (v − Ns )s + i ] − X v (i )]2
s i∑
F (v, s) = (3)
=1

for each segment v, v = Ns + 1,. . ., 2Ns .

Fractal Fract. 2024, 8, 340 4 of 26

• Step 4: By averaging all segments, the qth order fluctuation function can be obtained
for the different behaviors of trends in the time series xt , as follows:
!1/q
2Ns
1 sign(bX v ) + 1
Fq+ (s) = ∑ [ F (v, s)]q/2 (4)
M+ v =1
2

!1/q
2Ns
1 −[sign(bX v ) − 1]
Fq− (s) = ∑ [ F (v, s)]q/2 (5)
M− v =1
2

when q ̸= 0 and

2Ns
!
1 sign(bX v ) + 1
F0+ (s) = exp
2M+ ∑ 2
[ F (v, s)] (6)
v =1

2Ns
!
1 −[sign(bX v ) − 1]
F0− (s) = exp
2M− ∑ 2
[ F (v, s)] (7)
v =1
sign(b )+1 −[sign(b )−1]
for q = 0. Here, M+ = ∑2N s
v =1
Xv
2 and M− = ∑2N s
v =1 2
Xv
are the number
of sub-time series with positive and negative trends. We assume that bX v ̸= 0 for all
v = 1, ..., 2Ns , such that M+ + M− = 2Ns .
The traditional MF-DFA is implemented by computing the average fluctuation func-
tion for q ̸= 0 as
!1/q
1 2Ns q/2
2Ns v∑
Fq (s) = [ F (v, s)] (8)
=1

and for q = 0 as
2Ns
!
1
Fq (s) = exp
4Ns ∑ ln[ F(v, s)] . (9)
v =1

• Step 5: The scaling behavior of the fluctuations is analyzed by observing the log–
log plots of Fq (s) versus s for each value of q. In the case where the two series are
long-range cross-correlated, Fq (s) will increase for large values of s as a power law.

Fq (s) ∼ s Hx (q) (10)

+
Fq+ (s) ∼ s Hx (q) (11)
−
Fq− (s) ∼ s Hx (q) (12)
The scaling exponent Hx (q) is the slope of the log–log plots of Fq (s) versus s using
the ordinary least squares (OLS) method. In the case of q = 2, the scaling exponent Hx (q)
has similar properties and interpretations of the Hurst exponent. If Hx (2) > 0.5, then
the series is persistent, meaning that a positive (negative) change in one price is more
statistically likely to be followed by a positive (negative) value of the other price. In the
case where Hx (2) < 0.5, the series is antipersistent, which means that a positive (negative)
change in one price is more statistically likely to be followed by a negative (positive) change
in the other price. For Hx (2) = 0.5, we have only short-range auto-correlations or no
auto-correlations, indicating the presence of random walks.
To measure the multifractal degree, for every return series we calculate the ∆Hx
according to Equation (13).

∆Hx = Hx+ (qmin ) − Hx− (qmax ) (13)

Fractal Fract. 2024, 8, 340 5 of 26

To measure the multifractal asymmetric degree, we can calculate the DHx (q) for every
q according to Equation (14). In particular, it is important to analyze the multifractal
asymmetric degree of the Hurst exponent, DHx (2):

DHx (q) = Hx+ (q) − Hx− (q). (14)

Here, the greater the absolute value, the greater the asymmetric behavior. If DHx (q) is
equal to or close to zero, then the auto-correlations are symmetric for different time series
xt trends. If the value of DHx (q) is positive, then the auto-correlation exponent is higher
when the time series xt has a positive trend than when it is negative. If it is negative, then
the auto-correlation exponent is lower when the time series xt has a positive trend than
when it is negative.
If the scaling exponent Hx (q) value depends on the value of q, then the auto-correlation
is multifractal. For q > 0, the scaling behavior of large fluctuations is described by Hx (q),
Hx+ (q), and Hx− (q), while for q < 0 these describe the scaling behavior of small fluctuations.

3. Results
Thirty worldwide currencies were selected for this study. The currencies are classified
into six major currencies, seven European currencies, nine Asian currencies, two African
currencies, and six American currencies. Table 1 presents the list of the currencies that we
studied.

Table 1. List of currencies.

Major Currencies Polish Zloty (PLN) Thai Baht (THB)

Euro (EUR) Hungarian Forint (HUF) African currencies
British Pound Sterling (GBP) Russian Ruble (RUB) South African Rand (ZAR)
Japanese Yen (JPY) Asian currencies Moroccan Dirham (MAD)
Swiss Franc (CHF) Korean Won (KRW) American currencies
Australian Dollar (AUD) Israeli New Shekel (ILS) Mexican Peso (MXN)
Canadian Dollar (CAD) Hong Kong Dollar (HKD) Brazilian Real (BRL)
European currencies Singapore Dollar (SGD) Chilean Peso (CLP)
Swedish Krona (SEK) New Taiwan Dollar (TWD) Colombian Peso (COP)
Danish Krone (DKK) Indonesian Rupiah (INR) Peruvian Sol (PEN)
Norwegian Krone (NOK) Indian Rupee (INR) Argentine Peso (ARS)
Czech Koruna (CZK) Malaysian Ringgit (MY)

All the values of these currencies are expressed in relation to the US dollar. The analysis
period established for the study was from 1 December 2013–29 December 2023, a total of
5240 days. All values were extracted from www.yahoo.com/currencies. Each currency’s
return or variation was calculated according to Equation (15). For each currency return time
series, the days with abnormal returns (abs(rt ) >10%) were eliminated. With the restriction
of abnormal returns, 77 observations were eliminated out of 154,314 observations, or 0.05%.
The highest percentage of one of the time series eliminated as abnormal was 0.31% in the
case of RUB (16 observations out of 5110 total observations). Then, each return currency
time series was split into five return time series corresponding to each day of the week.
Thus, we obtained five return time series for each currency, with one for each day.

rt = ln( Pt /Pt−1 ) (15)

When analyzing the descriptive statistics of each currency’s daily return series (Table 2),
it can be observed that of the major currencies and European currencies, all except JPY had
their highest daily average on Mondays. For European currencies, the lowest return was
on Wednesday or Friday, except for DKK. The most volatile currencies were AUD in the
case of major currencies and RUB in the case of European currencies.
Fractal Fract. 2024, 8, 340 6 of 26

Table 2. Descriptive statistics for currency price returns by day.

Return Average Standard Deviation

Mon. Tue. Wed. Thu. Fri. Mon. Tue. Wed. Thu. Fri.
EUR 0.04% −0.01% −0.01% −0.01% −0.01% 0.66% 0.62% 0.65% 0.66% 0.68%
GBP 0.06% −0.02% 0.01% −0.03% −0.03% 0.67% 0.55% 0.57% 0.59% 0.61%
JPY 0.00% 0.00% 0.01% 0.01% 0.01% 0.65% 0.61% 0.69% 0.63% 0.66%
CHF 0.02% −0.01% −0.01% −0.02% −0.02% 0.62% 0.55% 0.66% 0.59% 0.71%
AUD 0.04% −0.03% 0.00% −0.01% −0.01% 0.85% 0.73% 0.77% 0.80% 0.79%
CAD 0.03% −0.01% 0.01% −0.01% −0.01% 0.58% 0.50% 0.56% 0.58% 0.56%
SEK 0.06% −0.01% −0.03% −0.02% −0.02% 0.78% 0.75% 0.75% 0.76% 0.76%
DKK 0.04% −0.02% −0.01% −0.01% −0.01% 0.59% 0.55% 0.54% 0.58% 0.62%
NOK 0.03% 0.01% −0.01% −0.03% −0.03% 0.86% 0.83% 0.81% 0.86% 0.78%
CZK 0.02% 0.02% −0.02% −0.02% −0.02% 0.72% 0.78% 0.69% 0.77% 0.78%
PLN 0.04% 0.00% −0.03% 0.02% 0.02% 0.91% 0.91% 0.83% 0.90% 0.84%
HUF 0.04% 0.03% −0.03% 0.01% 0.01% 0.92% 0.91% 0.87% 0.96% 0.87%
RUB 0.11% 0.04% −0.01% −0.05% −0.05% 1.10% 1.14% 0.96% 1.17% 1.08%
KRW −0.12% 0.15% −0.02% −0.01% −0.01% 0.94% 0.97% 0.83% 0.85% 0.77%
ILS −0.01% 0.01% −0.01% −0.02% −0.02% 0.54% 0.53% 0.55% 0.48% 0.50%
HKD 0.01% 0.00% 0.00% 0.00% 0.00% 0.10% 0.03% 0.04% 0.03% 0.10%
SGD 0.01% 0.00% −0.02% −0.01% −0.01% 0.35% 0.30% 0.31% 0.36% 0.33%
TWD −0.09% 0.14% −0.02% −0.02% −0.02% 0.86% 0.78% 0.60% 0.61% 0.67%
IDR −0.09% 0.14% −0.01% 0.01% 0.01% 0.88% 0.84% 0.68% 0.66% 0.68%
INR −0.03% 0.10% 0.00% −0.01% −0.01% 0.51% 0.49% 0.50% 0.46% 0.48%
MYR 0.02% 0.04% 0.00% −0.03% −0.03% 0.60% 0.68% 0.56% 0.53% 0.55%
THB −0.21% 0.22% −0.01% −0.01% −0.01% 0.83% 0.78% 0.51% 0.50% 0.52%
ZAR 0.07% 0.02% −0.04% 0.00% 0.00% 1.09% 1.03% 1.02% 1.12% 1.01%
MAD 0.17% 0.31% 0.05% −0.08% −0.08% 1.76% 1.42% 1.10% 1.08% 1.37%
MXN 0.05% 0.03% 0.01% 0.00% 0.00% 0.80% 0.72% 0.81% 0.81% 0.73%
BRL −0.15% 0.24% −0.02% −0.02% −0.02% 1.25% 1.17% 1.05% 1.05% 1.09%
CLP −0.06% 0.22% 0.00% −0.02% −0.02% 1.21% 1.25% 1.06% 1.07% 1.05%
COP −0.07% 0.18% −0.01% −0.08% −0.08% 1.20% 1.26% 1.15% 1.18% 1.16%
PEN −0.46% 0.47% 0.06% −0.03% −0.03% 1.32% 1.37% 1.10% 1.13% 1.18%
ARS −0.07% 0.21% 0.04% 0.09% 0.09% 0.78% 0.86% 0.72% 0.74% 0.72%

In the case of Asian currencies, the highest return occurred on Tuesdays, except for
HKD and SGD, for which they were on Mondays. On the other hand, the majority of
currencies had the lowest profitability on Mondays. The low volatility of HKD is striking,
while KRW has the highest volatility. The two African currencies had high returns on
Mondays and Tuesdays, while the lowest returns were on Wednesdays in the case of ZAR
and Thursdays and Fridays for MAD. Among the American currencies the highest returns
were on Tuesdays, except for MXN, for which they were on Mondays. At the same time, all
currencies except for MXN and COP had their lowest returns on Mondays. The currencies
with the lowest volatility in the analyzed period were MXN and ARS.
One classic way of addressing the day-of-week effect is through the GARCH economet-
ric model [43–48]. Traditionally, GARCH (p,q) models are applied according to Equations
(16)–(18) to determine the day-of-week effect.

5 5
rt = ∑ a i r t −i + ∑ b j D j + ϵt (16)
i =1 j =1
 
ϵt = N 0, σt2 (17)
p q
σt2 = α0 + ∑ αk σt2−k + ∑ γl ϵt2−l (18)
k =1 l =1
Fractal Fract. 2024, 8, 340 7 of 26

Here, D1 , D2 , D3 , D4 , and D5 are dummy variables with values of 1 for Monday,

Tuesday, Wednesday, Thursday, and Friday, respectively. In this econometric model, a
day-of-the-week effect exists for day j when b j is statistically significant. To determine the
day-of-the-week effect using a GARCH model, all the combinations (p, q) for p and q equal
to 1, 2, 3, 4, and 5 were adjusted for each currency, thereby maximizing the likelihood.
From among the 35 different configurations available for each currency, the best model was
selected based on the minimum Akaike Criterion Information (AIC).
Table 3 shows the dummy variables associated with each day’s returns for the best
model of each major currency. In general, there is no weekday effect, with the exceptions of
a Tuesday effect for EUR (negative), a Monday effect for GBR (positive), and a Wednesday
effect for JPY (positive). For the European currencies, there is only a weekday effect for SEK
on Mondays (positive), DKK on Tuesdays (negative), and RUB on Tuesdays, Thursdays,
and Fridays, with negative effects and Mondays showing a positive effect. Among the
Asian currencies, TWD has day-of-the-week effects on all five trading days, while HKD,
INR, and MYR have day-of-the-week effects on four of five trading days. KRW, IDR, and
THB show a day-of-the-week effect on Mondays (negative) and Tuesdays (positive). ILS
and SGD only show a very light day-of-the-week effect. Regarding the African currencies,
only MAD shows a day-of-the-week effect on four days. Very homogeneous behavior can
be observed in the case of the American currencies. All American currencies except ARS
have a negative weekday effect on Fridays, while all except MXN have a positive weekday
effect on Tuesdays. On Mondays there is a negative weekday effect for all currencies except
for MXN, which has a positive effect, and ARS, with no effect. Finally, BRL, CLP, PEN, and
ARS all have a positive weekday effect on Wednesdays.

Table 3. Day-of-the-week effect results obtained by the GARCH model.

b1 b2 b3 b4 b5
EUR 0.0002 −0.0004 * −0.0001 0.0000 0.0001
GBP 0.0005 ** −0.0001 −0.0001 −0.0003 0.0000
JPY 0.0001 0.0001 0.0004 * 0.0001 0.0002
CHF −0.0001 −0.0001 0.0000 −0.0001 0.0000
AUD 0.0003 −0.0002 −0.0001 0.0000 0.0001
CAD 0.0002 −0.0002 0.0002 0.0000 −0.0002
SEK 0.0007 ** −0.0004 −0.0003 0.0000 0.0002
DKK 0.0002 −0.0003 * 0.0000 0.0000 0.0001
NOK 0.0002 −0.0002 −0.0001 −0.0001 0.0002
CZK 0.0002 −0.0001 −0.0002 0.0000 −0.0001
PLN 0.0002 −0.0003 −0.0003 0.0003 0.0000
HUF 0.0004 0.0001 −0.0002 0.0002 −0.0003
RUB 0.0002 ** −0.0003 ** −0.0001 −0.0002 ** −0.0004 **
KRW −0.0005 ** 0.0004 * 0.0000 −0.0003 0.0000
ILS −0.0002 * 0.0001 0.0001 −0.0002 −0.0001
HKD 0.0000 ** 0.0000 ** 0.0000 ** 0.0000 ** 0.0000
SGD 0.0001 0.0000 −0.0002 * −0.0002 * −0.0001
TWD 0.0003 ** −0.0004 ** −0.0006 ** −0.0003 ** −0.0007 **
IDR −0.0006 ** 0.0008 ** 0.0001 −0.0002 * 0.0000
INR 0.0001 0.0006 ** 0.0002 ** −0.0005 ** −0.0002 **
MYR 0.0000 0.0001 ** −0.0003 ** 0.0004 ** −0.0005 **
THB −0.0013 ** 0.0003 ** 0.0000 0.0000 −0.0001
ZAR 0.0005 0.0004 −0.0004 −0.0001 0.0001
MAD −0.0006 * 0.0015 ** 0.0007 ** −0.0002 −0.0028 **
MXN 0.0004 * 0.0002 −0.0001 −0.0002 −0.0009 **
BRL −0.0009 ** 0.0017 ** −0.0002 −0.0006 ** 0.0001
CLP −0.0007 ** 0.0017 ** 0.0007 ** −0.0003 −0.0005 **
COP −0.0024 ** 0.0004 * 0.0002 −0.0004 * −0.0015 **
PEN −0.0067 ** 0.0016 ** 0.0024 ** 0.0008 ** −0.0008 **
ARS −0.0001 0.0016 ** 0.0007 ** 0.0008 ** 0.0000
Note: ** and * represent statistical significance at 1% and 5%, respectively.
Fractal Fract. 2024, 8, 340 8 of 26

To analyze the presence of autocorrelation, we applied the cross-correlation test model

proposed by Podobnik et al. [49], with the difference that we applied it to determine the
presence of auto-correlation. In this approach, the Qcc statistic is defined according to
Equations (19) and (20). The Qcc statistic is distributed according to χ2 with m degrees of
freedom:
m Xi2
Qcc (m) = N 2 ∑ (19)
i =1
N−i
where
∑kN=i+1 rt rt−i
Xi = . (20)
∑tN=1 rt2
In Appendix A, Figures A7–A9 present the Qcc for the series of returns for each day and
for each of the currencies, making for a range of m [0, 100]. All series of returns for each
day for all currencies reject the null hypothesis, indicating the existence of auto-correlation.
The sole exception is JPY on Mondays for m > 50; also interesting is the disproportion of
Mondays and Tuesdays for THB and PEN and of Mondays, Tuesdays, and Fridays for
MAD. In light of this evidence around Qcc , we have conditions for the possible existence of
fractality.
As a second analysis, we used the test from [50,51] for whether the local regularity
of a signal varies in time to determine whether there is multifractality in the series of
returns for each day and each currency. The multifractal spectrum can effectively show the
signal’s distribution of scaling exponents [52]. If the time series exhibits the same regularity
everywhere in time, then its multifractal spectrum will be narrow. On the contrary, time
series with changing regularities over time imply multifractal behavior, which is reflected
in a broad multifractal spectrum. The Hölder exponent, calculated using wavelet leaders,
is used to determine the multifractal spectrum (see [53]). Figures A4–A6 present the
multifractal spectrum as a function of the Hölder exponent. All series of returns for each
day and each currency show a sufficient amplitude of the multifractal spectrum, which
indicates that multifractality exists in the series. This finding does not imply a day-of-
the-week effect, as the multifractal behavior could be the same for all days for a given
currency. Nonetheless, it provides a basis for continuing with the multifractal analysis and
determining whether there is different multifractal behavior on different days for any of
the analyzed currencies.
To determine the degree of multifractality, we analyzed ∆Hx (Table 4). In the case
of the major currencies, all days had a higher positive degree of multifractality. The only
exceptions where multifractality did not exist were Tuesdays for EUR and Wednesdays
for CAD. In the case of the European currencies, there was also a positive degree of
multifractality, except on Wednesdays for CZK, for which there was no multifractality, and
for the case of HUF. In the case of HUF, there was no multifractality on Tuesdays or Fridays,
and on Wednesdays the degree of multifractality was negative (H (5) was greater than
H (−5)). Among the Asian currencies, the multifractality degree was positive. The only
exceptions were KRW (Tuesdays), ILS (Mondays and Wednesdays), and TWD (Tuesdays).
For the African currencies, there was a degree of positive multifractality on all days, with
the only exception being ZAR on Wednesdays. Finally, for the American currencies, a
large majority showed positive multifractality, with a few exceptions on certain days:
MXN (Mondays and Wednesdays), BRL (Mondays, Tuesdays, and Wednesdays), and CLP
(Thursdays).
Fractal Fract. 2024, 8, 340 9 of 26

Table 4. Multifractality degree of currency price returns by day.

Monday Tuesday Wednesday Thrusday Friday

EUR 0.317 ** −0.016 0.512 ** 0.322 ** 0.211 **
GBP 0.336 ** 0.175 ** 0.292 ** 0.149 ** 0.296 **
JPY 0.188 ** 0.205 ** 0.237 ** 0.123 ** 0.228 **
CHF 0.223 ** 0.160 ** 0.440 ** 0.109 ** 0.221 **
AUD 0.360 ** 0.274 ** 0.018 0.197 ** 0.525 **
CAD 0.163 ** 0.282 ** 0.114 ** 0.125 ** 0.303 **
SEK 0.227 ** 0.056 * 0.224 ** 0.246 ** 0.064 *
DKK 0.308 ** 0.237 ** 0.311 ** 0.133 ** 0.180 **
NOK 0.489 ** 0.121 ** 0.159 ** 0.128 ** 0.193 **
CZK 0.395 ** 0.129 ** 0.016 0.236 ** 0.078 *
PLN 0.061 * 0.108 ** 0.185 ** 0.326 ** 0.194 **
HUF 0.313 ** 0.014 −0.071 * 0.331 ** −0.030
RUB 0.433 ** 0.430 ** 0.127 * 0.355 ** 0.521 **
KRW 0.225 ** −0.022 0.342 ** 0.293 ** 0.429 **
ILS 0.056 0.310 ** 0.049 0.202 ** 0.372 **
HKD 0.714 ** 0.593 ** 0.692 ** 0.245 ** 0.452 **
SGD 0.309 ** 0.276 ** 0.147 ** 0.246 ** 0.332 **
TWD 0.264 ** −0.002 0.538 ** 0.234 ** 0.373 **
IDR 0.406 ** 0.165 ** 0.725 ** 0.454 ** 0.812 **
INR 0.499 ** 0.264 ** 0.225 ** 0.114 ** 0.212 **
MYR 0.309 ** 0.839 ** 0.557 ** 0.560 ** 0.471 **
THB 0.217 ** 0.119 ** 0.158 ** 0.096 ** 0.497 **
ZAR 0.187 ** 0.131 ** −0.005 0.195 ** 0.152 **
MAD 0.161 ** 0.210 ** 0.532 ** 0.614 ** 0.179 **
MXN −0.043 0.220 ** −0.050 0.433 ** 0.203 **
BRL 0.047 0.016 0.038 0.295 ** 0.193 **
CLP 0.212 ** 0.192 ** 0.084 * 0.027 0.313 **
COP 0.804 ** 0.533 ** 0.597 ** 0.473 ** 0.524 **
PEN 0.398 ** 0.232 ** 0.603 ** 0.314 ** 0.476 **
ARS 0.535 ** 0.248 ** 0.624 ** 0.760 ** 0.215 **
Note: ** and * represent statistical significance at 1% and 5%, respectively.

Next, the Hurst exponent was analyzed along with its confidence interval to deter-
mine the day-of-week effect for each of the studied currencies. Here, Hx (q) is obtained
from Equation (10), and the confidence intervals are obtained from these regressions. To
determine the confidence interval, 95% probabilities were used. This analysis allows us
to distinguish whether the behaviors of the daily returns were persistent, anti-persistent,
or random walks. In the case of the major currencies (Figure 1), for EUR, only Thursday
returns showed random walk behavior and only Tuesday returns showed persistence,
while the returns from the other days showed antipersistence. For GBP, a single daily
return (Wednesdays) showed random walk behavior, and only one day (Tuesdays) showed
persistence; the returns from the other days (Mondays, Thursdays, and Fridays) showed
antipersistence. For JPY, returns on Thursdays showed random walk behavior, while
the returns on Mondays and Tuesdays showed persistence, with Mondays being more
persistent than Tuesdays. The returns on Wednesdays and Fridays showed antipersistence.
CHF was the only major currency to show random walk behavior for three daily returns
(Mondays, Tuesdays, and Fridays). In the case of AUD, only the returns on Tuesdays
showed random walk behavior. In contrast, the returns on Mondays and Wednesdays
showed persistence, with the returns on Wednesdays being more persistent than those on
Mondays. The returns on Thursdays and Fridays showed antipersistence, with Fridays
being the most antipersistent. Only the CAD returns on Wednesdays showed a random
walk behavior; the returns on Mondays and Thursdays showed persistence, while those on
Tuesdays and Fridays showed antipersistence.
 FractalFract.
Fract.2024, 0
2024,8,1,340
Fractal 1010ofof2627

0 1. Hurst exponent (Hx (2)) and 95% confidence interval on each day for major currencies.
Figure
Figure 1. Hurst exponent (Hx (2)) and 95% confidence interval on each day for major currencies.
For the European currencies (Figure 2), SEK returns on Tuesdays and Wednesdays
showedForrandom walk behavior,
the European while
currencies those2),
(Figure onSEK
Thursdays
returnsand Fridays showed
on Tuesdays persistent
and Wednesdays
behavior
showed random walk behavior, while those on Thursdays and Fridays showedhave
and those on Mondays showed antipersistent behavior. DKK did not any
persistent
days with random walk behavior; on Mondays, Wednesdays, and Fridays
behavior and those on Mondays showed antipersistent behavior. DKK did not have any the returns
showed antipersistence,
days with random walk while on Tuesdays
behavior; and Thursdays
on Mondays, the behavior
Wednesdays, and was persistent.
Fridays For
the returns
NOK, returns on Tuesdays and Fridays showed random walk behavior during
showed antipersistence, while on Tuesdays and Thursdays the behavior was persistent. For the study
period,
NOK, returns
returns on
onWednesdays
Tuesdays and and Thursdays
Fridays showedshowed persistence,
random and those
walk behavior on Mondays
during the study
showed antipersistence. For CZK, only the returns on Thursdays showed
period, returns on Wednesdays and Thursdays showed persistence, and those on Mondaysrandom walk
behavior, while the returns on Tuesdays, Wednesdays, and Fridays showed
showed antipersistence. For CZK, only the returns on Thursdays showed random walk persistence,
and those on
behavior, Monday
while showedon
the returns antipersistence. For PLN, Monday
Tuesdays, Wednesdays, and Wednesday
and Fridays returns
showed persistence,
showed random walk behavior, Tuesdays and Fridays showed persistence,
and those on Monday showed antipersistence. For PLN, Monday and Wednesday returns and Thursdays
showed
showedantipersistence. For HUF,Tuesdays
random walk behavior, the returns
andon Fridays
Fridays showed
showed random walk
persistence, behavior,
and Thursdays
while those on Tuesdays and Wednesdays showed persistence and those
showed antipersistence. For HUF, the returns on Fridays showed random walk behavior, on Mondays
and Thursdays
while those onshowed
Tuesdaysantipersistence.
and Wednesdays Finally, the RUB
showed returns and
persistence showed
thoserandom walk
on Mondays
behavior only on showed
and Thursdays Tuesdays, showing persistence
antipersistence. onthe
Finally, Wednesdays,
RUB returns Thursdays, and Fridays
showed random walk
and antipersistence only on Mondays.
behavior only on Tuesdays, showing persistence on Wednesdays, Thursdays, and Fridays
and antipersistence only on Mondays.
Fractal
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Figure 2. Hurst exponent (Hx (2)) and 95% confidence interval on each day for European currencies.
Figure 2. Hurst exponent (Hx (2)) and 95% confidence interval on each day for European currencies.
Regarding the Asian currencies (Figure 3), KRW had three daily returns with persis-
tenceRegarding
(Tuesdays, Wednesdays,
the and Thursdays),
Asian currencies with had
(Figure 3), KRW Tuesday
threebeing the mostwith
daily returns persistent,
persis-
while antipersistent behavior was apparent on Mondays and Fridays.
tence (Tuesdays, Wednesdays, and Thursdays), with Tuesday being the most persistent, ILS returns showed
random
while walk behavior
antipersistent on Wednesdays
behavior was apparent and
onThursdays,
Mondays and with antipersistent
Fridays. behavior
ILS returns showed on
Tuesdays and Fridays and persistent behavior only on Mondays.
random walk behavior on Wednesdays and Thursdays, with antipersistent behavior on In the case of HKD, the
returns onand
Tuesdays Mondays,
FridaysThursdays,
and persistentandbehavior
Fridays showed
only on persistent
Mondays.behavior,
In the case while thosethe
of HKD, on
Tuesdays and Wednesdays showed antipersistence. For SGD, the returns
returns on Mondays, Thursdays, and Fridays showed persistent behavior, while those on on Wednesdays
and Thursdays
Tuesdays showed random
and Wednesdays showed walk behavior, while
antipersistence. Forthose
SGD,on theTuesdays
returns on were antipersis-
Wednesdays
tent and those on Thursdays were persistent. The TWD returns showed
and Thursdays showed random walk behavior, while those on Tuesdays were antipersis- two days of high
persistence (Mondays and Tuesdays), while on Fridays they showed
tent and those on Thursdays were persistent. The TWD returns showed two days of high random walk behavior
and on Wednesdays
persistence (Mondaysand andThursdays
Tuesdays),they showed
while antipersistent
on Fridays they showed behavior.
random IDR andbehavior
walk INR had
and on Wednesdays and Thursdays they showed antipersistent behavior. IDR and INRMYR
no random walk days at all, and showed persistent behavior on four days. For the had
returns,
no random random
walk walk
days behavior
at all, andwas present
showed on Wednesdays
persistent behaviorand Fridays,
on four days.while
For Mondays
the MYR
and Thursdays
returns, randomshowed persistent
walk behavior was behavior
present and Tuesdays showed
on Wednesdays antipersistent
and Fridays, behavior.
while Mondays
For THB, the returns only showed random walk behavior on Wednesdays,
and Thursdays showed persistent behavior and Tuesdays showed antipersistent behavior. with the returns
on Mondays, Tuesdays, and Thursdays showing persistence and those
For THB, the returns only showed random walk behavior on Wednesdays, with the returns on Fridays showing
antipersistence.
on Of the and
Mondays, Tuesdays, twoThursdays
African currencies analyzed inand
showing persistence thisthose
study on(Figure
Fridays3,showing
bottom
right), only the returns
antipersistence. Of the of ZAR
two on Mondays,
African Tuesdays,
currencies analyzed andin Wednesdays showed
this study (Figure 3, random
bottom
walk behavior. MAD had three days with persistent returns (Mondays,
right), only the returns of ZAR on Mondays, Tuesdays, and Wednesdays showed random Tuesdays, and
Fridays), while ZAR only showed this behavior on Fridays. ZAR
walk behavior. MAD had three days with persistent returns (Mondays, Tuesdays, and and MAD returns both
had antipersistent
Fridays), while ZAR behavior on Wednesdays
only showed and on
this behavior Thursdays.
Fridays. ZAR and MAD returns both
had antipersistent behavior on Wednesdays and Thursdays.
Fractal
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12 of
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Figure 3. Hurst exponent (Hx (2)) and 95% confidence interval on each day for Asian and African
currencies.
Figure 3. Hurst exponent (H (2)) and 95% confidence interval on each day for Asian and African cur-
x
rencies.
Among the American currencies (Figure 4), MXN daily returns showed persistent
behavior
Amongon Mondays, Tuesdays,
the American Wednesdays,
currencies (Figure 4),and
MXNFridays
dailyand antipersistent
returns behavior
showed persistent
on Thursdays.
behavior For BRL,Tuesdays,
on Mondays, the returns on Mondays,and
Wednesdays, Tuesdays,
FridaysWednesdays, and Thursdays
and antipersistent behavior
showed persistent behavior, with Tuesdays and Wednesdays being the most
on Thursdays. For BRL, the returns on Mondays, Tuesdays, Wednesdays, and Thursdayspersistent.
In contrast,
showed the returns
persistent on Fridays
behavior, behaved and
with Tuesdays as aWednesdays
random walk. Thethe
being behavior is similar
most persistent.
in the case of MXN, with four days of returns showing persistence (Mondays, Tuesdays,
Fractal Fract. 2024, 1, 0 13 of 27

Fractal Fract. 2024, 8, 340 13 of 26

In contrast, the returns on Fridays behaved as a random walk. The behavior is similar
in the case of MXN, with four days of returns showing persistence (Mondays, Tuesdays,
Wednesdays,
Wednesdays, and and Fridays)
Fridays) and
and Thursdays
Thursdays showing
showing antipersistence.
antipersistence. COP
COP and
and PEN
PEN also
also
had four persistent daily returns. In the case of PEN, persistence was present on
had four persistent daily returns. In the case of PEN, persistence was present on Mondays, Mondays,
Tuesdays, Thursdays,
Tuesdays, Thursdays, and
and Fridays,
Fridays, while
while the
the returns
returns for
for Wednesdays
Wednesdays showed
showed random
random walk
walk
behavior. In the case of COP, the days with persistent behavior were Mondays,
behavior. In the case of COP, the days with persistent behavior were Mondays, Wednesdays,Wednesdays,
Thursdays, and
Thursdays, and Fridays,
Fridays, with
with Mondays
Mondays and and Wednesdays
Wednesdays having
having higher
higher persistence,
persistence, while
while
the returns
the returns for
for Tuesdays
Tuesdays showed
showed random
random walk
walk behavior.
behavior. The
The case
case of
of CLP
CLP was
was more
more extreme
extreme
than that
than that of
of other
other currencies;
currencies; all
all the
the daily
daily returns
returns showed
showed persistence,
persistence, with
with the
the returns
returns on
on
Tuesdays and Mondays having the highest persistence. Finally, in the case of
Tuesdays and Mondays having the highest persistence. Finally, in the case of ARS returns,ARS returns,
four days
four days showed
showed persistence
persistence (Tuesdays,
(Tuesdays, Wednesdays,
Wednesdays, Thursdays,
Thursdays, andand Fridays),
Fridays), while
while the
the
returns on Mondays showed antipersistence.
returns on Mondays showed antipersistence.

Figure 4. Hurst exponent (Hx (2)) and 95% confidence interval on each day for American currencies.
Figure 4. Hurst exponent (Hx (2)) and 95% confidence interval on each day for American currencies.
By separating the analysis of the generalized exponent according to the trends of
the different currencies
By separating the with respect
analysis to the
of the US Dollar,exponent
generalized it is possible to observe
according asymmetry
to the trends of
among the major currencies (Figure 5). In particular, there is asymmetry on three
the different currencies with respect to the US Dollar, it is possible to observe asymmetry days of
the week for GBP (Wednesdays, Thursdays, Fridays), JPY (Tuesdays, Wednesdays,
among the major currencies (Figure 5). In particular, there is asymmetry on three days of Fridays),
and AUDfor
the week (Mondays, Wednesdays,
GBP (Wednesdays, Fridays),
Thursdays, while inJPY
Fridays), the(Tuesdays,
cases of CAD and CHFFridays),
Wednesdays, there is
asymmetry on two days. For EUR, only one day (Tuesdays) presents
and AUD (Mondays, Wednesdays, Fridays), while in the cases of CAD and CHF there asymmetry, while
is
three days under an upward trend and two days under a downward
asymmetry on two days. For EUR, only one day (Tuesdays) presents asymmetry, while trend are random
walks. Based
three days underon an
theupward
asymmetrytrendanalysis,
and twothe currency
days under athat showed trend
downward the most days of
are random
random walk behavior
walks. Based was CAD, with
on the asymmetry threethe
analysis, days under an
currency thatupward
showedtrend
the and
mostfour days
days of
under a downward trend. All major currencies had a day-of-the-week effect under the
upward and downward trends.
Fractal Fract. 2024, 1, 0 14 of 27

random walk behavior was CAD, with three days under an upward trend and four days
Fractal Fract. 2024, 8, 340 under a downward trend. All major currencies had a day-of-the-week effect under the
14 of 26
upward and downward trends.

Figure 5. Hurst exponent (Hx (2)) and 95% confidence interval on each day for upward and downward
trends for major currencies. Note: in blue, the Hx (2) under upward trend; in red, under downward
Figure 5. Hurst exponent (Hx (2)) and 95% confidence interval on each day for upward and downward
trend.
trends for major currencies. Note: in blue, the Hx (2) under upward trend; in red, under downward
trend.
In the trend analysis, all studied European currencies presented a day-of-the-week
effectIn(Figure 6). analysis,
the trend DKK andallRUB had asymmetry
studied on three days
European currencies of theaweek,
presented while SEK,
day-of-the-week
NOK, and PLN had asymmetry on two days. NOK showed random walk
effect (Figure 6). DKK and RUB had asymmetry on three days of the week, while SEK, behavior on
four days under an upward trend and three days under a downward
NOK, and PLN had asymmetry on two days. NOK showed random walk behavior on trend, while HUB
showed
four days random
under walk behavior
an upward for three
trend days days
and three underunder
an upward trend and
a downward four while
trend, days under
HUB
a downward trend. PLN and RUB had days of persistence, antipersistence,
showed random walk behavior for three days under an upward trend and four days and random
under
walk behaviortrend.
a downward for both
PLNtrends.
and RUBThere was
had no of
days antipersistence under the upward
persistence, antipersistence, andtrend
randomfor
SEK or NOK, and no persistence under the downward trend for SEK, DKK,
walk behavior for both trends. There was no antipersistence under the upward trend forCZK, or HUB.
SEK orThe Asian
NOK, andcurrencies behaveunder
no persistence similarly to the majortrend
the downward and European currencies,
for SEK, DKK, CZK, orpresent-
HUB.
ing a weekday effect under both trends for all currencies (Figure 7). In particular, there is
asymmetry on four days of the week in the case of MYR (all days except Tuesdays) and on
three days of the week for KRW, HKD, and IDR. For ILS currency, there was no asymmetry.
In the cases of KRW and MYR, four days under a downward trend were random walks
and only one day was under an upward trend. HKD only had one day that behaved as a
random walk, and was in an upward trend on Wednesdays. KRW, TWD, INR, and THB
had no under a downtrend with antipersistence.
Fractal
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15 of
of 27
26

Figure 6. Hurst exponent (Hx (2)) and 95% confidence interval on each day for upward and downward
Fractal Fract. 2024, 1, 0 16 of 27
trends 6.
Figure forHurst
European currencies.
exponent (Hx (2))Note: in blue,
and 95% the Hx (2)
confidence underon
interval upward trend;
each day for in red, under
upward downward
and downward
trend. for European currencies. Note: in blue, the Hx (2) under upward trend; in red, under downward
trends
trend.

The Asian currencies behave similarly to the major and European currencies, present-
ing a weekday effect under both trends for all currencies (Figure 7). In particular, there is
asymmetry on four days of the week in the case of MYR (all days except Tuesdays) and on
three days of the week for KRW, HKD, and IDR. For ILS currency, there was no asymmetry.
In the cases of KRW and MYR, four days under a downward trend were random walks
and only one day was under an upward trend. HKD only had one day that behaved as a
random walk, and was in an upward trend on Wednesdays. KRW, TWD, INR, and THB
had no under a downtrend with antipersistence.
The two African currencies did not present any antipersistence under an upward
trend (Figure 7). In the case of MAD, there was no random walk behavior under a down-
ward trend, while ZAR presented random walk behavior on two days under an upward
trend and three days under a downward trend. MAD presented asymmetry on three days
of the week, while ZAR presented asymmetry on two days. Both African currencies had
day-of-the-week effects for both trends.

Figure 7. Cont.
Fractal Fract. 2024, 8, 340 16 of 26

Figure 7. Hurst exponent (Hx (2)) and 95% confidence interval on each day for upward and downward
trends 7.
Figure forHurst
Asianexponent
and African currencies.
(Hx (2)) and 95%Note: in blue,
confidence the Hon
interval x (2)each
under
dayupward trend;
for upward andindownward
red, under
downward trend.
trends for Asian and African currencies. Note: in blue, the Hx (2) under upward trend; in red, under
downward trend.
The two African currencies did not present any antipersistence under an upward trend
(Figure 7). In the case of MAD, there was no random walk behavior under a downward
trend, while ZAR presented random walk behavior on two days under an upward trend
and three days under a downward trend. MAD presented asymmetry on three days of
the week, while ZAR presented asymmetry on two days. Both African currencies had
day-of-the-week effects for both trends.
Finally, the American currencies presented weekday effects under both trends for all
currencies (Figure 8). In particular, there was asymmetry on three days of the week in the
case of BRL (Mondays, Wednesdays, Thursdays) and PEN (Tuesdays, Thursdays, Fridays).
There were no days with antipersistence in either of the two trends for CLP and COP. In the
case of COP, there were four days with random walk behavior under an upward trend and
three days under a downward trend. For BRL and CLP, there was only one day of random
walk behavior under an upward trend and one day under a downward trend.
Table 5 presents the results for the multifractality degree under the upward and
downward trends. In the case of the major currencies, all currencies for all days had a
greater positive degree of multifractality under the downward trend, while under the
upward trend the majority again had positive multifractality, except EUR (Tuesdays and
Fridays), JPY (Wednesdays), CHF (Tuesdays), AUD (Wednesdays), and CAD (Mondays
 Fractal Fract. 2024, 8, 340 17 of 26

and Wednesdays). The results were also positive in the case of the European currencies. In
almost all cases, multifractality was present under an upward trend (25 out of 35 days) and
a downward trend (28 out of 35 days). Under a downward trend, SEK, DKK, and NOK all
had a positive multifractality degree, while under an upward trend only RUB did. In the
case of the Asian currencies, all had a multifractality degree under a downward trend except
for KRW (Tuesdays and Wednesdays) and THB (Thursdays). In the case of an upward
trend, the vast majority also had a positive multifractality degree, with the exceptions of
Fractal Fract. 2024, 1, 0 KRW (Thursdays), ILS (Mondays and Wednesdays), INR (Thursdays), and THB (Tuesdays
17 of 27
and Wednesdays). Under an upward trend, MAD did not present multifractality on
Mondays or Tuesdays, while under a downward trend ZAR did not present multifractality
on Wednesdays and MAD did not on Fridays. Both African currencies showed a positive
Finally, the American currencies presented weekday effects under both trends for all
multifractality degree in all other cases. Finally, in the case of the American currencies, a
currencies (Figure 8). In particular, there was asymmetry on three days of the week in the
large majority had positive multifractality degrees for almost every day under a downward
case of BRL (Mondays, Wednesdays, Thursdays) and PEN (Tuesdays, Thursdays, Fridays).
trend. Only in the case of MXN (Wednesdays and Fridays) and PEN (Mondays) was there
There were no days with antipersistence in either of the two trends for CLP and COP. In the
no multifractality degree under the downward trend, while in the case of BRL (Mondays)
case of COP, there were four days with random walk behavior under an upward trend and
it was negative. This negative multifractality degree of BRL was also present on Tuesdays
three days under a downward trend. For BRL and CLP, there was only one day of random
under an upward trend, while ARS had a multifractality degree on all days and under both
walk behavior under an upward trend and one day under a downward trend.
trends.

Figure 8. Hurst exponent (Hx (2)) and 95% confidence interval on each day for upward and downward
trends for American currencies. Note: in blue, the H (2) under upward trend; in red, under downward
Figure 8. Hurst exponent (Hx (2)) and 95% confidencexinterval on each day for upward and downward
trend.
trends for American currencies. Note: in blue, the Hx (2) under upward trend; in red, under downward
trend.

Table 5 presents the results for the multifractality degree under the upward and
downward trends. In the case of the major currencies, all currencies for all days had a
greater positive degree of multifractality under the downward trend, while under the
upward trend the majority again had positive multifractality, except EUR (Tuesdays and
Fractal Fract. 2024, 8, 340 18 of 26

Table 5. Multifractal degree of currency price returns by day.

Monday Tuesday Wednesday Thrusday Friday Monday Tuesday Wednesday Thrusday Friday
EUR 0.215 ** −0.128 0.542 ** 0.365 ** 0.025 0.457 ** ** 0.355 ** 0.164 ** 0.433 **
GBP 0.238 ** 0.124 ** 0.247 ** 0.168 ** 0.285 ** 0.286 ** 0.331 ** 0.369 ** 0.145 ** 0.341 **
JPY 0.247 ** 0.183 ** 0.004 0.161 ** 0.358 ** 0.110 ** 0.223 ** 0.236 ** 0.116 ** 0.147 **
CHF 0.296 ** 0.044 0.425 ** 0.081 * 0.286 ** 0.381 ** 0.346 ** 0.423 ** 0.133 ** 0.264 **
AUD 0.255 ** 0.186 ** 0.108 0.250 ** 0.574 ** 0.328 ** 0.404 ** 0.162 ** 0.183 ** 0.291 **
CAD 0.031 0.481 ** 0.117 0.168 ** 0.313 ** 0.255 ** 0.179 ** 0.171 ** 0.078 0.310 **
SEK 0.181 ** 0.018 0.211 ** 0.260 ** −0.059 0.267 ** 0.181 ** 0.324 ** 0.222 ** 0.297 **
DKK 0.195 ** 0.028 0.439 ** 0.076 0.113 * 0.349 ** 0.430 ** 0.140 ** 0.215 ** 0.276 **
NOK 0.033 0.103 * 0.235 ** 0.097 ** 0.051 0.647 ** 0.136 ** 0.187 ** 0.214 ** 0.381 **
CZK 0.450 ** 0.193 ** 0.062 0.272 ** 0.188 ** 0.228 ** 0.323 ** 0.044 0.212 ** 0.090
PLN 0.097 * 0.081 0.460 ** 0.309 ** 0.184 * 0.207 ** 0.137 0.039 0.330 ** 0.313 **
HUF 0.330 ** 0.185 ** −0.142 0.414 ** 0.041 0.184 ** −0.061 0.139 ** 0.239 ** 0.005
RUB 0.592 ** 0.588 ** 0.251 ** 0.522 ** 0.597 ** 0.586 ** 0.332 ** 0.073 0.293 ** 0.457 **
KRW 0.241 ** 0.337 ** 0.620 ** 0.048 0.497 ** 0.304 ** −0.057 0.052 0.585 ** 0.347 **
ILS −0.018 0.289 ** 0.086 0.231 ** 0.286 ** 0.105 ** 0.328 ** 0.312 ** 0.134 ** 0.455 **
HKD 0.789 ** 0.338 ** 1.023 ** 0.421 ** 1.064 ** 1.632 ** 0.711 ** 0.445 ** 0.144 * 0.596 **
SGD 0.185 ** 0.319 ** 0.237 ** 0.348 ** 0.453 ** 0.425 ** 0.231 ** 0.125 * 0.155 ** 0.218 **
TWD 0.402 ** 0.610 ** 0.652 ** 0.351 ** 0.535 ** 0.686 ** 0.218 ** 0.414 ** 0.180 ** 0.264 **
IDR 0.574 ** 0.099 * 0.859 ** 0.550 ** 1.102 ** 0.249 ** 0.171 ** 0.335 ** 0.331 ** 0.075
INR 0.567 ** 0.340 ** 0.154 * −0.010 0.249 ** 0.320 ** 0.081 * 0.258 ** 0.292 ** 0.110 *
MYR 0.456 ** 0.430 ** 0.552 ** 0.593 ** 0.459 ** 0.352 ** 0.812 ** 0.570 ** 0.157 ** 0.494 **
THB 0.226 ** −0.028 0.099 0.123 ** 0.397 ** 0.086 * 0.350 ** 0.185 ** 0.078 0.594 **
ZAR 0.158 ** 0.168 ** 0.130 ** 0.155 ** 0.211 ** 0.205 ** 0.078 * 0.010 0.224 ** 0.168 **
MAD 0.062 −0.036 0.465 ** 0.526 ** 0.345 ** 0.303 ** 0.270 ** 0.515 ** 0.559 ** −0.009
MXN −0.093 0.249 ** 0.043 0.384 ** 0.274 ** 0.162 * 0.246 ** 0.023 0.195 ** 0.065
BRL 0.384 ** −0.120 * 0.015 0.246 ** 0.286 ** −0.121 * 0.165 ** 0.370 ** 0.315 ** 0.147 **
CLP 0.212 ** 0.171 ** −0.049 −0.034 0.189 ** 0.345 ** 0.226 ** 0.241 ** 0.193 ** 0.404 **
COP 0.930 ** 0.261 ** 0.505 ** 0.600 ** 0.117 0.466 ** 0.575 ** 0.574 ** 0.202 ** 0.799 **
PEN 0.527 ** −0.145 ** 0.276 ** 0.518 ** 0.409 ** 0.016 0.461 ** 0.766 ** 0.230 ** 0.483 **
ARS 0.441 ** 0.397 ** 0.613 ** 0.743 ** 0.257 * 0.474 ** 0.176 ** 0.801 ** 0.928 ** 0.402 **
Note: ** and * represent statistical significance at 5% and 1%, respectively.
Fractal Fract. 2024, 8, 340 19 of 26

4. Conclusions
The foreign exchange rates market is one of the most liquid and efficient markets. In
this study, we address the efficiency analysis of this market by verifying the day-of-the-
week effect through fractal analysis. The presence of fractality is evident in the return series
of each day as well as when performing the analysis under both upward and downward
trends. Thirty main world currencies from all continents were analyzed in this study,
showing weekday effects according to their fractal behavior. These results show a form of
market inefficiency, as the returns or price variations of each day of the analyzed currencies
should have behaved similarly and tended towards random walks. The discovery of this
fractal day-of-the-week effect in world currencies opens up a number of possibilities. It
could allow innovative investment strategies to be generated and enhance investors’ ability
to make informed decisions about when to buy and sell currencies. This research has the
potential to inspire new approaches to currency trading. The econometric models show
that the day-of-the-week effects in the studied currencies do not fully align with previous
studies. However, analyzing the Hurst exponent for each day reveals that there are still
weekday effects in the fractal dimension.
The existence of multifractality among the days of the week for the world’s currency
exchange rates suggests that trading strategies could utilize this information to develop
strategies that depend on the day of the week on which the trades take place.
The generation of trading strategies that use the fractal dimension with respect trading
days is beyond the scope of this paper; nonetheless, it is deserving of further discussion and
analysis in the literature. The potential number of strategies that could be built using these
ideas is relatively large, and it is important to discuss which are the best and to compare
them to both passive investment strategies and those that use other indicators.

Author Contributions: Writing—review and editing, Conceptualization, methodology, software,

formal analysis, data curation, writing—original draft: W.K. Conceptualization, methodology, formal
analysis, writing—original draft: B.M.T. All authors have read and agreed to the published version of
the manuscript.
Funding: B.M.T. gratefully acknowledges financial support from the CNPq Foundation, Fundação
de Apoio a Pesquisa do Distrito Federal—FAP-DF, and CAPES Foundation.
Fractal Fract. 2024, 1, 0 20 of 27
Data Availability Statement: Data are available from the authors on request.
Conflicts of Interest: The authors declare no conflicts of interest.

Appendix A Appendix A

Figure A1. Cont.

 Fractal Fract. 2024, 8, 340 20 of 26

Fractal Fract. 2024, 1, 0 21 of 27

Figure A1. Cross-correlation statistics Qcc(m
Figure A1. Cross-correlation ) vs. theQcc
statistics degrees
(m) vs.of
thefreedom of for
degrees m the pairs
freedom m forstudied.
the pairs studied.

FigureA2.
Figure Cross-correlationstatistics
A2.Cross-correlation statisticsQcc
Qcc(m vs.the
(m) )vs. thedegrees
degreesofoffreedom
freedommmfor
forthe
thepairs
pairsstudied.
studied.
Fractal Fract. 2024, 8, 340 21 of 26

Figure A2. Cross-correlation statistics Qcc(m) vs. the degrees of freedom m for the pairs studied.

Fractal Fract. 2024, 1, 0 22 of 27

FigureA3.
Figure Cross-correlation statistics
A3.Cross-correlation statisticsQcc
Qcc ) vs.
(m(m thethe
) vs. degrees of freedom
degrees m formthe
of freedom forpairs studied.
the pairs studied.

Figure A4. Multifractal

Figure A4.spectra: distribution
Multifractal spectra:of scaling exponent
distribution of scalingfor each return
exponent time
for each series.
return time series.
Fractal Fract. 2024, 8, 340 22 of 26
Figure A4. Multifractal spectra: distribution of scaling exponent for each return time series.

Fractal
Fractal Fract.
Fract. 2024, 1, 00
2024, 1, 23
23 of
of 27
27

Figure A5. Cont.

Figure A5. Multifractal Spectra: distribution of scaling exponent for each return time series.
Figure A5. Multifractal Spectra: distribution of scaling exponent for each return time series.
Figure A5. Multifractal Spectra: distribution of scaling exponent for each return time series.

Figure A6. Multifractal

Figure A6.spectra: distribution
Multifractal spectra:of scaling exponent
distribution of scalingfor each return
exponent time
for each series.
return time series.
Figure A6. Multifractal spectra: distribution of scaling exponent for each return time series.
Fractal Fract.
Fractal Fract. 2024, 8, 00340
1,
2024, 1, 23 of
24 26
of 27
27
24

Figure A7.
Figure Cross-correlation exponent
A7. Cross-correlation exponent H vs. q.
Hxx((qq)) vs. q.
Figure A7. Cross-correlation exponent H x ( q ) vs. q.

Figure A8.
Figure Cont.
A8. Cont.
Fractal
FractalFract.
Fract.2024, 8,1,0340
2024,1, 0 2425ofof27
25 2627

A8. Cross-correlation exponent

Figure A8. exponent Hxx((qq)) vs.
vs. q.
q.
Figure A8.Cross-correlation
Figure Cross-correlation exponentHH x ( q ) vs. q.

Figure A9.Cross-correlation
FigureA9. Cross-correlationexponent xx(xq()q )vs.
exponentHH vs.q.q.
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