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http://hdl.handle.net/10609/93086
Títol: | A model for foreign exchange markets based on glassy Brownian systems |
Autoria: | Sánchez Granero, Miguel Ángel Trinidad Segovia, Juan Evangelista Clara Rahola, Joaquim Puertas López, Antonio Manuel Nieves López, Francisco Javier de las |
Altres: | Universidad de Almería Universitat Oberta de Catalunya (UOC) |
Citació: | 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 |
Resum: | 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. |
Paraules clau: | mercats de divises moviment brownià |
DOI: | 10.1371/journal.pone.0188814 |
Tipus de document: | info:eu-repo/semantics/article |
Versió del document: | info:eu-repo/semantics/publishedVersion |
Data de publicació: | 5-des-2017 |
Llicència de publicació: | http://creativecommons.org/licenses/by/3.0/es/ |
Apareix a les col·leccions: | Articles Articles cientÍfics |
Arxius per aquest ítem:
Arxiu | Descripció | Mida | Format | |
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amodelfor.pdf | 3,35 MB | Adobe PDF | Veure/Obrir |
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