Hybrid dynamics for currency modeling

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dc.creatorTheodosopoulos, Ted
dc.creatorTrifunovic, Alex
dc.date2006-05-16
dc.date.accessioned2026-07-07T12:07:18Z
dc.date.available2026-07-07T12:07:18Z
dc.descriptionWe present a simple hybrid dynamical model as a tool to investigate behavioral strategies based on trend following. The multiplicative symbolic dynamics are generated using a lognormal diffusion model for the at-the-money implied volatility term structure. Thus, are model exploits information from derivative markets to obtain qualititative properties of the return distribution for the underlier. We apply our model to the JPY-USD exchange rate and the corresponding 1mo., 3mo., 6mo. and 1yr. implied volatilities. Our results indicate that the modulation of autoregressive trend following using derivative-based signals significantly improves the fit to the distribution of times between successive sign flips in the underlier time series.
dc.description7 pages, 3 figures, submitted for presentation at FEA 2006
dc.identifierhttps://arxiv.org/abs/math/0605457
dc.identifierhttp://arxiv.org/abs/math/0605457
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208925
dc.subjectProbability
dc.subjectDynamical Systems
dc.subjectStatistical Finance
dc.subject37B10; 60G40; 91B28
dc.titleHybrid dynamics for currency modeling
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