How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market
- 29 May 2000
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review Letters
- Vol. 84 (22) , 5224-5227
- https://doi.org/10.1103/physrevlett.84.5224
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.Keywords
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