Modeling a foreign exchange rate using moving average of Yen-Dollar market data
Takayuki Mizuno, Misako Takayasu, Hideki Takayasu
Abstract
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are mainly using strategies with weighted feedbacks of the past rates in the exchange market. These feedbacks are responsible for a power law distribution and characteristic autocorrelations of rate changes.
Create a lesson
Related papers
How Rich is the Rich-Club? Super Rich-Club Organization in Complex Networks
Lucía S. Ramirez, Laia Barjuan, M. Ángeles Serrano
Limited knowledge exchange across biological subfields in agent-based modelling: an LLM-assisted bibliometric analysis
Kira Pugh, Rebecca M Crossley, Sara Hamis
Informing research priorities for distributed acoustic sensing: insights from a citizens' panel
Hannah Dalgleish, Rafael Mestre, Heidi Wheatley et al.
Emergent regularity of walking patterns: evidence from Swiss cities
Guo-Shiuan Lin, Martin Hendrick, Maider Llaguno-Munitxa et al.
A Cracked Mirror: How People Perceive Gender Performance by Large Language Models
Faezeh Fadaei, Jenny Carla Moran, Taha Yasseri
Stochastic dose fluctuations in boron neutron capture therapy with heterogeneous boron distributions
Ramacos Fardela, Roni Muslim, Tista Artu Indra Kusuma