A characteristic time scale in dollar-yen exchange rates

DOI10.1016/S0378-4371(00)00607-5zbMath0972.91070MaRDI QIDQ1841365

Tokiko Shimizu, Kouhei Marumo, Fred L. Heller, Hideki Takayasu, Anastasios A. Tsonis

Publication date: 27 February 2001

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

market self-organizationpure Brownian motionrandom walk methods

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic models in economics (91B70) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (5)

Analysis of high-resolution foreign exchange data of USD-JPY for 13 years ⋮ Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates ⋮ Technical trading can induce long-run memory in financial markets ⋮ Predictability of currency market exchange ⋮ Characteristic time scales in the American dollar-Mexican peso exchange currency market

Cites Work

• Exploiting geometric signatures to accurately determine properties of attractors
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