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A model for foreign exchange markets based on glassy Brownian systems.
Sánchez-Granero, M A; Trinidad-Segovia, J E; Clara-Rahola, J; Puertas, A M; De Las Nieves, F J.
Afiliación
  • Sánchez-Granero MA; Department of Mathematics, University of Almería, Almería, Spain.
  • Trinidad-Segovia JE; Department of Economics and Business, University of Almería, Almería, Spain.
  • Clara-Rahola J; Department of Applied Physics, University of Almería, Almería, Spain.
  • Puertas AM; i2TiC Multidisciplinary Research Group, Open University of Catalonia, Barcelona, Spain.
  • De Las Nieves FJ; Department of Applied Physics, University of Almería, Almería, Spain.
PLoS One ; 12(12): e0188814, 2017.
Article en En | MEDLINE | ID: mdl-29206868
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. We consider the exchange rate price in the time range between 2010 and 2016 at yearly time intervals and resolved at one minute frequency. We then fit the experimental datasets with this model, and find significant qualitative symmetry between price fluctuation distributions from the currency market, and the ones belonging to colloidal particles position in arrested states. The main contribution of this paper is a well-known physical model that does not necessarily assume the independent and identically distributed (i.i.d.) restrictive condition.
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Texto completo: 1 Colección: 01-internacional Base de datos: MEDLINE Asunto principal: Modelos Económicos / Internacionalidad / Inversiones en Salud Tipo de estudio: Health_economic_evaluation / Qualitative_research Idioma: En Revista: PLoS One Asunto de la revista: CIENCIA / MEDICINA Año: 2017 Tipo del documento: Article País de afiliación: España Pais de publicación: Estados Unidos
Texto completo
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Texto completo: 1 Colección: 01-internacional Base de datos: MEDLINE Asunto principal: Modelos Económicos / Internacionalidad / Inversiones en Salud Tipo de estudio: Health_economic_evaluation / Qualitative_research Idioma: En Revista: PLoS One Asunto de la revista: CIENCIA / MEDICINA Año: 2017 Tipo del documento: Article País de afiliación: España Pais de publicación: Estados Unidos