Modeling a foreign exchange rate using moving average of Yen-Dollar market data
Physics and Society
2008-12-02 v1 Data Analysis, Statistics and Probability
Statistical Finance
Abstract
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are mainly using strategies with weighted feedbacks of the past rates in the exchange market. These feedbacks are responsible for a power law distribution and characteristic autocorrelations of rate changes.
Keywords
Cite
@article{arxiv.physics/0508162,
title = {Modeling a foreign exchange rate using moving average of Yen-Dollar market data},
author = {Takayuki Mizuno and Misako Takayasu and Hideki Takayasu},
journal= {arXiv preprint arXiv:physics/0508162},
year = {2008}
}
Comments
5 pages, 5 figures :Proceedings of The Third Nikkei Econophysics Symposium