How to quantify deterministic and random influences on the statistics of the foreign exchange market

Details How to quantify deterministic and random influences on the statistics of the foreign exchange market How to quantify deterministic and random influences on the statistics of the foreign exchange market

1999-01-21

arxiv.org/abs/physics/9901034v1

Physics

Data Analysis, Statistics and Probability

3 figures

Scientific paper

10.1103/PhysRevLett.84.5224

It is shown that prize changes of the US dollar - German Mark exchange rates upon different delay times can be regarded as a stochastic Marcovian process. Furthermore we show that from the empirical data the Kramers-Moyal coefficients can be estimated. Finally, we present an explicite Fokker-Planck equation which models very precisely the empirical probabilitiy distributions.

Affiliated with

Also associated with

No associations

Rating

How to quantify deterministic and random influences on the statistics of the foreign exchange market does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with How to quantify deterministic and random influences on the statistics of the foreign exchange market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and How to quantify deterministic and random influences on the statistics of the foreign exchange market will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-545265