Foreign exchange market fluctuations as random walk in demarcated complex plane
| dc.creator | Bantang, Johnrob | |
| dc.creator | Lim, May | |
| dc.creator | Castro, Patricia Arielle | |
| dc.creator | Monterola, Christopher | |
| dc.creator | Saloma, Caesar | |
| dc.date | 2003-08-15 | |
| dc.date.accessioned | 2026-07-07T12:11:25Z | |
| dc.date.available | 2026-07-07T12:11:25Z | |
| dc.description | We show that time-dependent fluctuations $\{Δx\}$ in foreign exchange rates are accurately described by a random walk in a complex plane that is demarcated into the gain (+) and loss (-) sectors. $\{Δx\}$ is the outcome of $N$ random steps from the origin and $|Δx|$ is the square of the Euclidean distance of the final $N$-th step position. Sign of $\{Δx(t)\}$ is set by the $N$-th step location in the plane. The model explains not only the exponential statistics of the probability density of $\{Δx\}$ for G7 markets but also its observed asymmetry, and power-law dependent broadening with increasing time delay. | |
| dc.identifier | https://arxiv.org/abs/physics/0308062 | |
| dc.identifier | http://arxiv.org/abs/physics/0308062 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/210216 | |
| dc.subject | Computational Physics | |
| dc.subject | Statistical Finance | |
| dc.title | Foreign exchange market fluctuations as random walk in demarcated complex plane | |
| dc.type | text |