Phys. Rev. Lett. 84, 5224–5227 (2000)How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange MarketReceived 19 January 1999; revised 16 November 1999; published in the issue dated 29 May 2000 It is shown that price changes of the U.S. dollar–German mark exchange rates upon different delay times can be regarded as a stochastic Marcovian process. Furthermore, we show how Kramers-Moyal coefficients can be estimated from the empirical data. Finally, we present an explicit Fokker-Planck equation which models very precisely the empirical probability distributions, in particular, their non-Gaussian heavy tails. © 2000 The American Physical Society URL:
http://link.aps.org/doi/10.1103/PhysRevLett.84.5224
DOI:
10.1103/PhysRevLett.84.5224
PACS:
02.50.Le, 05.40.-a, 47.27.Ak, 87.23.Ge
|
|
About | Terms and Conditions | Subscriptions | Search | Help
Use of the American Physical Society websites and journals implies that the user has read and agrees to our Terms and Conditions and any applicable Subscription Agreement. Physical Review®, Physical Review Letters®, Reviews of Modern Physics®, and Physical Review Special Topics® are trademarks of the American Physical Society.