New statistical model for foreign exchange dynamics

Authors

Patricia Arielle Castro National Institute of Physics, University of the Philippines Diliman
Johnrob Bantang National Institute of Physics, University of the Philippines Diliman
May Lim National Institute of Physics, University of the Philippines Diliman
Christopher Monterola National Institute of Physics, University of the Philippines Diliman
Caesar Saloma National Institute of Physics, University of the Philippines Diliman

Abstract

Foreign exchange (forex) dynamics is modeled using random walk in a complex plane. System movement is guided by the net activity of N independent firms, each defined by a random amplitude and phase. Our model successfully reproduced the exponential decay behavior observed in the actual frequency distribution of forex fluctuations of the G-7 countries and the Philippines.

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Issue

2002: Proceedings of the 20th Samahang Pisika ng Pilipinas Physics Congress

Article ID

SPP-2002-3B-03

Section

Complex Systems and Environmental Physics

Published

2002-10-23

How to Cite

[1]

PA Castro, J Bantang, M Lim, C Monterola, and C Saloma, New statistical model for foreign exchange dynamics, Proceedings of the Samahang Pisika ng Pilipinas 20, SPP-2002-3B-03 (2002). URL: https://proceedings.spp-online.org/article/view/SPP-2002-3B-03.