Evidence of Markov properties of high frequency exchange rate data

DOI10.1016/S0378-4371(01)00269-2zbMath0971.91052arXivcond-mat/0102494MaRDI QIDQ5942416

Joachim Peinke, Ch. Renner, Rudolf Friedrich

Publication date: 29 August 2001

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0102494

zbMATH Keywords

probability density functionFokker-Planch equationprice changes

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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