Diffusive and Arrestedlike Dynamics in Currency Exchange Markets
| Autor: | F. J. de las Nieves, Miguel Ángel Sánchez-Granero, Juan Evangelista Trinidad-Segovia, J. Clara-Rahola, Antonio M. Puertas |
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| Přispěvatelé: | Universidad de Almería, Universitat Oberta de Catalunya (UOC) |
| Rok vydání: | 2017 |
| Předmět: |
Physics - Physics and Society
Work (thermodynamics) mercats de divises Physical system FOS: Physical sciences General Physics and Astronomy Physics and Society (physics.soc-ph) 02 engineering and technology Condensed Matter - Soft Condensed Matter 01 natural sciences FOS: Economics and business Stock exchange 0103 physical sciences Economics Statistical physics 010306 general physics Statistical Finance (q-fin.ST) Dynamics (mechanics) currency exchange market Quantitative Finance - Statistical Finance 021001 nanoscience & nanotechnology Symmetry (physics) Valor (Economía) Colloidal particle Currency mercado de divisas Valor (Economia) Liberian dollar Soft Condensed Matter (cond-mat.soft) 0210 nano-technology Value |
| Zdroj: | riUAL. Repositorio Institucional de la Universidad de Almería Universidad de Almería O2, repositorio institucional de la UOC Universitat Oberta de Catalunya (UOC) Recercat. Dipósit de la Recerca de Catalunya instname |
| Popis: | This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in supercooled or arrested states. In particular, we find that models used for arrested physical systems are suitable for describing the EURUSD fluctuation distributions. Whereas the corresponding mean squared price displacement (MSPD) to the EURUSD is diffusive for all years, when focusing in selected time frames within a day, we find a two-step MSPD when the New York Stock Exchange market closes, comparable to the dynamics in supercooled systems. This is corroborated by looking at the price correlation functions and non-Gaussian parameters, and can be described by the theoretical model. We discuss the origin and implications of this analogy. 6 pages, 4 figures |
| Databáze: | OpenAIRE |
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