How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market
Year: 2000
Type: article
Abstract: 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.
Source: Physical Review Letters
Authors: R. Friedrich, J. Peinke, Ch. Renner
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1989430166