Modeling a foreign exchange rate using moving average of Yen-Dollar market data

Mizuno, Takayuki; Takayasu, Misako; Takayasu, Hideki

doi:10.1007/4-431-28915-1_9

Takayuki Mizuno²,
Misako Takayasu² &
Hideki Takayasu³

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Summary

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.

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References

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Authors and Affiliations

Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259 Nagatsuta-cho, Midori-ku, Yokohama, 226-8502, Japan
Takayuki Mizuno & Misako Takayasu
Sony Computer Science Laboratories, 3-14-13 Higashi-Gotanda, Shinagawa-ku, Tokyo, 141-0022, Japan
Hideki Takayasu

Authors

Takayuki Mizuno
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Misako Takayasu
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Hideki Takayasu
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Editors and Affiliations

Sony Computer Science Laboratories, Inc., 3-14-13 Higashi-Gotanda, Shinagawa-ku, Tokyo, 141-0022, Japan
Hideki Takayasu (Senior Researcher) (Senior Researcher)

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Mizuno, T., Takayasu, M., Takayasu, H. (2006). Modeling a foreign exchange rate using moving average of Yen-Dollar market data. In: Takayasu, H. (eds) Practical Fruits of Econophysics. Springer, Tokyo. https://doi.org/10.1007/4-431-28915-1_9

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DOI: https://doi.org/10.1007/4-431-28915-1_9
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-28914-2
Online ISBN: 978-4-431-28915-9
eBook Packages: Business and EconomicsEconomics and Finance (R0)

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