Impact of unexpected events, shocking news, and rumors on foreign exchange market dynamics

Mark McDonald, Omer Suleman, Stacy Williams, Sam Howison, and Neil F. Johnson
Phys. Rev. E 77, 046110 – Published 17 April 2008

Abstract

The dynamical response of a population of interconnected objects, when exposed to external perturbations, is of great interest to physicists working on complex systems. Here we focus on human systems, by analyzing the dynamical response of the world’s financial community to various types of unexpected events—including the 9/11 terrorist attacks as they unfolded on a minute-by-minute basis. For the unfolding events of 9/11, our results show that there was a gradual collective understanding of what was happening, rather than an immediate realization. More generally, we find that for news items which are not simple economic statements—and hence whose implications for the market are not immediately obvious—there are periods of collective discovery during which opinions seem to vary in a remarkably synchronized way.

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  • Received 15 January 2008

DOI:https://doi.org/10.1103/PhysRevE.77.046110

©2008 American Physical Society

Authors & Affiliations

Mark McDonald1,2, Omer Suleman1, Stacy Williams2, Sam Howison1, and Neil F. Johnson3

  • 1Mathematics Department, Oxford University, Oxford OX1 2EL, United Kingdom
  • 2FX Research and Trading Group, HSBC Bank, 8 Canada Square, London E14 5HQ, United Kingdom
  • 3Physics Department, University of Miami, Coral Gables, Florida 33146, USA

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Issue

Vol. 77, Iss. 4 — April 2008

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