How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market

R. Friedrich, J. Peinke, and Ch. Renner
Phys. Rev. Lett. 84, 5224 – Published 29 May 2000
PDFExport Citation

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.

  • Received 19 January 1999

DOI:https://doi.org/10.1103/PhysRevLett.84.5224

©2000 American Physical Society

Authors & Affiliations

R. Friedrich

  • Institute für Theoretische Physik, Universität Stuttgart, D-70550 Stuttgart, Germany

J. Peinke and Ch. Renner

  • Fachbereich 8 Physik, Universität Oldenburg, D-26111 Oldenburg, Germany

References (Subscription Required)

Click to Expand
Issue

Vol. 84, Iss. 22 — 29 May 2000

Reuse & Permissions
Access Options
Author publication services for translation and copyediting assistance advertisement

Authorization Required


×
×

Images

×

Sign up to receive regular email alerts from Physical Review Letters

Log In

Cancel
×

Search


Article Lookup

Paste a citation or DOI

Enter a citation
×