New statistical model for foreign exchange dynamics

Authors

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