A model for foreign exchange markets based on glassy Brownian systems

Autor: Juan Evangelista Trinidad-Segovia, Miguel Ángel Sánchez-Granero, Antonio M. Puertas, J. Clara-Rahola, F. J. de las Nieves
Přispěvatelé: Universidad de Almería, Universitat Oberta de Catalunya (UOC)
Rok vydání: 2017
Předmět:
Independent and identically distributed random variables
Internationality
Economics
Physical system
Normal Distribution
Social Sciences
lcsh:Medicine
Glass Science
Order (exchange)
Econometrics
050207 economics
lcsh:Science
Financial Markets
Mathematics
Fluids
050208 finance
Multidisciplinary
movimiento browniano
Physics
05 social sciences
Classical Mechanics
Structural Relaxation
Models
Economic
Physical Sciences
mercado de divisas
Research Article
Value
States of Matter
mercats de divises
Materials Science
brownian motion
moviment brownià
Fluid Mechanics
Continuum Mechanics
Vibration
Normal distribution
Exchange rate
foreign exchange market
0502 economics and business
Investments
Relaxation (Physics)
Stochastic Processes
Financial market
lcsh:R
Fluid Dynamics
Probability Theory
Probability Distribution
Valor (Economía)
Currency
Brownian Motion
Valor (Economia)
lcsh:Q
Foreign exchange market
Finance
Zdroj: O2, repositorio institucional de la UOC
Universitat Oberta de Catalunya (UOC)
Recercat. Dipósit de la Recerca de Catalunya
instname
PLoS ONE, Vol 12, Iss 12, p e0188814 (2017)
PLoS ONE
Popis: In this work we extend a well-known model from arrested physical systems, and employ it in order to efficiently depict different currency pairs of foreign exchange market price fluctuation distributions. We consider the exchange rate price in the time range between 2010 and 2016 at yearly time intervals and resolved at one minute frequency. We then fit the experimental datasets with this model, and find significant qualitative symmetry between price fluctuation distributions from the currency market, and the ones belonging to colloidal particles position in arrested states. The main contribution of this paper is a well-known physical model that does not necessarily assume the independent and identically distributed (i.i.d.) restrictive condition.
Databáze: OpenAIRE
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