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Influence of government controls over the currency exchange rate in the evolution of Hurst's exponent: An autonomous agent-based model

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  • Chávez Muñoz, Pablo
  • Fernandes da Silva, Marcus
  • Vivas Miranda, José
  • Claro, Francisco
  • Gomez Diniz, Raimundo

Abstract

We have studied the performance of the Hurst's index associated with the currency exchange rate in Brazil and Chile. It is shown that this index maps the degree of government control in the exchange rate. A model of supply and demand based in an autonomous agent is proposed, that simulates a virtual market of sale and purchase, where buyer or seller are forced to negotiate through an intermediary. According to this model, the average of the price of daily transactions correspond to the theoretical balance proposed by the law of supply and demand. The influence of an added tendency factor is also analyzed.

Suggested Citation

  • Chávez Muñoz, Pablo & Fernandes da Silva, Marcus & Vivas Miranda, José & Claro, Francisco & Gomez Diniz, Raimundo, 2007. "Influence of government controls over the currency exchange rate in the evolution of Hurst's exponent: An autonomous agent-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(2), pages 786-790.
    • Handle: RePEc:eee:phsmap:v:386:y:2007:i:2:p:786-790
    DOI: 10.1016/j.physa.2007.07.009
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    4. Cajueiro, Daniel O & Tabak, Benjamin M, 2004. "The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 521-537.
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    Cited by:

    1. Cristescu, C.P. & Stan, C. & Scarlat, E.I., 2009. "The dynamics of exchange rate time series and the chaos game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(23), pages 4845-4855.
    2. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
    3. Ferreira, Paulo, 2018. "Efficiency or speculation? A time-varying analysis of European sovereign debt," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1295-1308.

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