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Analysis of Fokker–Planck approach for foreign exchange market statistics study

Author

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  • Smirnov, A.P.
  • Shmelev, A.B.
  • Sheinin, E.Ya.

Abstract

In a well-known work (Phys. Rev. Lett. 84 (2000) 5224) it was shown that behaviour of returns for foreign exchange markets in different time scales can be described in terms of Fokker–Planck equation, with Kramers–Moyal coefficients being estimated from the empirical data. In the current paper the authors provide analytical solution for stationary Fokker–Planck equation, which allows explanation of non Gaussian tails of the distribution function. It is also shown that while approximating empirical data one needs to observe some limitations for correct results obtaining.

Suggested Citation

  • Smirnov, A.P. & Shmelev, A.B. & Sheinin, E.Ya., 2004. "Analysis of Fokker–Planck approach for foreign exchange market statistics study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 203-206.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:203-206
    DOI: 10.1016/j.physa.2004.06.117
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    Cited by:

    1. Habibi, Noora & Lashkarian, Elham & Dastranj, Elham & Hejazi, S. Reza, 2019. "Lie symmetry analysis, conservation laws and numerical approximations of time-fractional Fokker–Planck equations for special stochastic process in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 750-766.

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    Keywords

    Fokker–Planck; Foreign exchange market;

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