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

Simple item page
dc.creatorMizuno, Takayuki
dc.creatorTakayasu, Misako
dc.creatorTakayasu, Hideki
dc.date2005-08-23
dc.date.accessioned2026-07-07T12:07:37Z
dc.date.available2026-07-07T12:07:37Z
dc.descriptionWe 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.
dc.description5 pages, 5 figures :Proceedings of The Third Nikkei Econophysics Symposium
dc.identifierhttps://arxiv.org/abs/physics/0508162
dc.identifierhttp://arxiv.org/abs/physics/0508162
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209031
dc.subjectPhysics and Society
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleModeling a foreign exchange rate using moving average of Yen-Dollar market data
dc.typetext

Files

Collections

arXiv