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On the rigid body behavior of foreign exchange markets

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  • Matassini, Lorenzo

Abstract

We propose a method to characterize the behavior of a foreign exchange market, introducing a mapping from the N assets to a liquid of N particles, which is studied by means of its empirical kinetic properties. We present the resulting rigid body behavior investigating daily foreign exchange market data for USD, DEM and YEN in the period of time from 9 April 1973 to 15 November 1997.

Suggested Citation

  • Matassini, Lorenzo, 2002. "On the rigid body behavior of foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 402-410.
    • Handle: RePEc:eee:phsmap:v:308:y:2002:i:1:p:402-410
    DOI: 10.1016/S0378-4371(02)00594-0
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    Cited by:

    1. K. Ivanova & M. Ausloos & H. Takayasu, 2003. "Deterministic and stochastic influences on Japan and US stock and foreign exchange markets. A Fokker-Planck approach," Papers cond-mat/0301268, arXiv.org.

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