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- Exponentially damped Lévy flights, multiscaling, and exchange rates
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[PDF] Exponentially damped Lévy flights, multiscaling, and exchange rates | Semantic Scholar
In relation to my previous question Who influences Forex prices and by how much? I have an raw idea how to determine how much is Forex influenced externally and how much is its behavior given by its previous states reaction of Forex trades on Forex prices. The idea is based on relative comparison with totally random signal, and completely predictable signal via multiple predictive models.
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The raw idea:. The outcome should be some relative scale how much on every granularity is the Forex time series close to the random signal or the predictable signal in the terms of predictability. This outcome should help me to understand, how much is Forex influenced from outside vs inside. Is this experiment idea valid? Or is completely wrong? If is it valid, what potential problems I can encounter? What kind of time series random and predictable I should use?
Sign up to join this community. The best answers are voted up and rise to the top. Rathie and S. Silva Published Economics Physica A-statistical Mechanics and Its Applications We employ our previously suggested exponentially damped Levy flight Physica A to study the multiscaling properties of 30 daily exchange rates against the US dollar together with a fictitious euro-dollar rate Physica A Though multiscaling is not theoretically seen in either stable Levy processes or abruptly truncated Levy flights, it is even characteristic of smoothly truncated Levy flights Phys.
A ; Eur. B 4 We have… Expand. View via Publisher. Save to Library. Create Alert. Launch Research Feed.
Share This Paper. Methods Citations. Tables from this paper. The model presented here does not break the market efficiency hypothesis, but clearly shows how market dynamics transits from arrested, in short term, to diffusive in long term, and we propose, as Engle et al.
Land dispute drives new exodus in Ethiopia’s Tigray
In both cases we consider that this is because trade of these currencies is more associated to investments than to speculation. This work has been supported financially by the UOC, under project N, aimed at enhancing submission to H calls, J. The currency exchange data was provided by histdata. This work has been supported financially by the Universitat Oberta de Catalunya, under project N, aimed at enhancing submission to H calls, J.
DERR to J. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript. National Center for Biotechnology Information , U. PLoS One. Published online Dec 5. De las Nieves. Wei-Xing Zhou, Editor.
Exponentially damped Lévy flights, multiscaling, and exchange rates
Author information Article notes Copyright and License information Disclaimer. Competing Interests: The authors have declared that no competing interests exist. Received Jun 16; Accepted Nov This is an open access article distributed under the terms of the Creative Commons Attribution License , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. This article has been cited by other articles in PMC. 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.
Introduction Since Fama [ 1 ] showed that the normal distribution does not fit the empirical distribution of stock market returns, which is leptokurtic and has heavy tails, financial market distributions have become a topic in financial literature. Foreign exchange markets: A market characterization In this section we summarize from Sarno and Taylor [ 29 ] some characteristics of the microstructure of the foreign exchange market which are relevant to our model. Introducing the model In Clara et al.
Open in a separate window. Fig 1. Schematic representation of the energy landscape. Schematic representation of the energy landscape as a function of the price.
Fig 2. Absolute moments. Fig 3. Table 1 Fitting parameters of the model for different currency pairs and years. D min.
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Table 2 Fitting parameters of the model for different currency pairs and years. Fig 4. Fig 5. Fig 6. Fig 7.
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Fig 8. Fig 9. Fig Comparison of the experimental pdf vs iid one. Conclusions We have proposed a model, derived initially to describe the dynamics of undercooled physical systems, that is able to describe currency pairs with a single functional form, and a single set of parameters for all time lags. Acknowledgments This work has been supported financially by the UOC, under project N, aimed at enhancing submission to H calls, J. Funding Statement This work has been supported financially by the Universitat Oberta de Catalunya, under project N, aimed at enhancing submission to H calls, J.
Data Availability All data is freely available on histdata. References 1. Fama EF. The Behavior of Stock-Market Prices. Journal of Business ; 38 — McDonald JB. Probability distributions for financial models In: Maddala G. Handbook of statistics, Financial statistics. Mandelbrot BB. The Variation of Certain Speculative Prices. Journal of Business ; 36 : — Press SJ. A compound events model for security prices. Jornal of Business. Madan DB, Seneta E. Chebyshev polynomial approximations and characteristic function estimation.
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Quantitative Finance ; 6 5 — Bouchaud JP, Potters M. Theory of Financial Risks.