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Title: Diffusive and arrestedlike dynamics in currency exchange markets
Author: Clara Rahola, Joaquim
Puertas López, Antonio Manuel
Sánchez Granero, Miguel Ángel
Trinidad Segovia, Juan Evangelista
Nieves López, Francisco Javier de las
Others: Universidad de Almería
Universitat Oberta de Catalunya (UOC)
Keywords: currency exchange market
Issue Date: 10-Feb-2017
Publisher: Physical Review Letters
Citation: Clara-Rahola, J., Puertas, A.M., Sánchez-Granero, M.A., Trinidad-Segovia, J.E. & de las Nieves, F. J. (2017). Diffusive and arrestedlike dynamics in currency exchange markets. Physical Review Letters, 118(6). doi: 10.1103/PhysRevLett.118.068301
Project identifier: info:eu-repo/grantAgreement/FIS2015-69022-P
info:eu-repo/grantAgreement/MTM2015-64373-P
Also see: https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.118.068301
Abstract: This work studies the symmetry between colloidal dynamics and the dynamics of the Euro-U.S. dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in supercooled or arrested states. In particular, we find that models used for arrested physical systems are suitable for describing the EURUSD fluctuation distributions. Whereas the corresponding mean-squared price displacement (MSPD) to the EURUSD is diffusive for all years, when focusing in selected time frames within a day, we find a two-step MSPD when the New York Stock Exchange market closes, comparable to the dynamics in supercooled systems. This is corroborated by looking at the price correlation functions and non-Gaussian parameters and can be described by the theoretical model. We discuss the origin and implications of this analogy.
Language: English
URI: http://hdl.handle.net/10609/93071
ISSN: 0031-9007MIAR

1079-7114MIAR
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