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Foreign exchange market fluctuations as random walk in demarcated complex plane | | Johnrob Bantang
; May Lim
; Patricia Arielle Castro
; Christopher Monterola
; Caesar Saloma
; | | Date: |
15 Aug 2003 | | Subject: | Computational Physics | physics.comp-ph | | Abstract: | We show that time-dependent fluctuations ${Delta x}$ in foreign exchange rates are accurately described by a random walk in a complex plane that is demarcated into the gain (+) and loss (-) sectors. ${Delta x}$ is the outcome of $N$ random steps from the origin and $|Delta x|$ is the square of the Euclidean distance of the final $N$-th step position. Sign of ${Delta x(t)}$ is set by the $N$-th step location in the plane. The model explains not only the exponential statistics of the probability density of ${Delta x}$ for G7 markets but also its observed asymmetry, and power-law dependent broadening with increasing time delay. | | Source: | arXiv, physics/0308062 | | Services: | Forum | Review | PDF | Favorites | |
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