A model for foreign exchange markets based on glassy Brownian systems.

A model for foreign exchange markets based on glassy Brownian systems.

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 inter...

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Main Authors: M A Sánchez-Granero, J E Trinidad-Segovia, J Clara-Rahola, A M Puertas, F J De Las Nieves
Format: Article
Language:English
Published: Public Library of Science (PLoS) 2017-01-01
Series:PLoS ONE
Online Access:http://europepmc.org/articles/PMC5716550?pdf=render
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spelling doaj-a12557fe084348e4a7e13b3ab7adaf772020-11-25T01:10:56ZengPublic Library of Science (PLoS)PLoS ONE1932-62032017-01-011212e018881410.1371/journal.pone.0188814A model for foreign exchange markets based on glassy Brownian systems.M A Sánchez-GraneroJ E Trinidad-SegoviaJ Clara-RaholaA M PuertasF J De Las NievesIn 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.http://europepmc.org/articles/PMC5716550?pdf=render
collection DOAJ
language English
format Article
sources DOAJ
author M A Sánchez-Granero
J E Trinidad-Segovia
J Clara-Rahola
A M Puertas
F J De Las Nieves
spellingShingle M A Sánchez-Granero
J E Trinidad-Segovia
J Clara-Rahola
A M Puertas
F J De Las Nieves
A model for foreign exchange markets based on glassy Brownian systems.
PLoS ONE
author_facet M A Sánchez-Granero
J E Trinidad-Segovia
J Clara-Rahola
A M Puertas
F J De Las Nieves
author_sort M A Sánchez-Granero
title A model for foreign exchange markets based on glassy Brownian systems.
title_short A model for foreign exchange markets based on glassy Brownian systems.
title_full A model for foreign exchange markets based on glassy Brownian systems.
title_fullStr A model for foreign exchange markets based on glassy Brownian systems.
title_full_unstemmed A model for foreign exchange markets based on glassy Brownian systems.
title_sort model for foreign exchange markets based on glassy brownian systems.
publisher Public Library of Science (PLoS)
series PLoS ONE
issn 1932-6203
publishDate 2017-01-01
description 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.
url http://europepmc.org/articles/PMC5716550?pdf=render
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