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Modeling a foreign exchange rate using moving average of Yen-Dollar market data

In: Practical Fruits of Econophysics

Author

Listed:
  • Takayuki Mizuno

    (Tokyo Institute of Technology)

  • Misako Takayasu

    (Tokyo Institute of Technology)

  • Hideki Takayasu

    (Sony Computer Science Laboratories)

Abstract

Summary We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are mainly using strategies with weighted feedbacks of the past rates in the exchange market. These feedbacks are responsible for a power law distribution and characteristic autocorrelations of rate changes.

Suggested Citation

  • Takayuki Mizuno & Misako Takayasu & Hideki Takayasu, 2006. "Modeling a foreign exchange rate using moving average of Yen-Dollar market data," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 57-61, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_9
    DOI: 10.1007/4-431-28915-1_9
    as

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    Cited by:

    1. Ted Theodosopoulos & Alex Trifunovic, 2006. "Hybrid dynamics for currency modeling," Papers math/0605457, arXiv.org.
    2. Mizuno, Takayuki & Takayasu, Hideki & Takayasu, Misako, 2007. "Analysis of price diffusion in financial markets using PUCK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 187-192.

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