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http://hdl.handle.net/10609/93086
Title: A model for foreign exchange markets based on glassy Brownian systems
Author: Sánchez Granero, Miguel Ángel
Trinidad Segovia, Juan Evangelista
Clara Rahola, Joaquim
Puertas López, Antonio Manuel
Nieves López, Francisco Javier de las
Others: Universidad de Almería
Universitat Oberta de Catalunya (UOC)
Keywords: foreign exchange market
brownian motion
Issue Date: 5-Dec-2017
Publisher: PLoS ONE
Citation: Sánchez-Granero, M.A., Trinidad-Segovia, J.E., Clara-Rahola, J., Puertas, A.M. & De las Nieves, F.J. (2017). A model for foreign exchange markets based on glassy brownian systems. PLoS ONE, 12(12). doi: 10.1371/journal.pone.0188814
Project identifier: info:eu-repo/grantAgreement/N11-6139473
info:eu-repo/grantAgreement/DER2016-76053-R
info:eu-repo/grantAgreement/MTM2015-64373-P
Also see: https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0188814
Abstract: In this work we extend a well-known model from arrested physical systems, and employ it in order to efficiently depict different currency pairs of foreign exchange market price fluctuation distributions. We consider the exchange rate price in the time range between 2010 and 2016 at yearly time intervals and resolved at one minute frequency. We then fit the experimental datasets with this model, and find significant qualitative symmetry between price fluctuation distributions from the currency market, and the ones belonging to colloidal particles position in arrested states. The main contribution of this paper is a well-known physical model that does not necessarily assume the independent and identically distributed (i.i.d.) restrictive condition.
Language: English
URI: http://hdl.handle.net/10609/93086
ISSN: 1932-6203MIAR
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