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A model for foreign exchange markets based on glassy Brownian systems

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  • M A Sánchez-Granero
  • J E Trinidad-Segovia
  • J Clara-Rahola
  • A M Puertas
  • F J De las Nieves

Abstract

In this work we extend a well-known model from arrested physical systems, and employ it in order to efficiently depict different currency pairs of foreign exchange market price fluctuation distributions. We consider the exchange rate price in the time range between 2010 and 2016 at yearly time intervals and resolved at one minute frequency. We then fit the experimental datasets with this model, and find significant qualitative symmetry between price fluctuation distributions from the currency market, and the ones belonging to colloidal particles position in arrested states. The main contribution of this paper is a well-known physical model that does not necessarily assume the independent and identically distributed (i.i.d.) restrictive condition.

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  • M A Sánchez-Granero & J E Trinidad-Segovia & J Clara-Rahola & A M Puertas & F J De las Nieves, 2017. "A model for foreign exchange markets based on glassy Brownian systems," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-22, December.
    • Handle: RePEc:plo:pone00:0188814
    DOI: 10.1371/journal.pone.0188814
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    Cited by:

    1. María Nieves López-García & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Antonio Manuel Puertas & Francisco Javier De las Nieves, 2021. "Volatility Co-Movement in Stock Markets," Mathematics, MDPI, vol. 9(6), pages 1-19, March.

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