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