Title:
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Diffusive and arrestedlike dynamics in currency exchange markets
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Author:
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Clara Rahola, Joaquim; Puertas López, Antonio Manuel; Sánchez Granero, Miguel Ángel; Trinidad Segovia, Juan Evangelista; Nieves López, Francisco Javier de las
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Other authors:
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Universidad de Almería; Universitat Oberta de Catalunya (UOC) |
Abstract:
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This work studies the symmetry between colloidal dynamics and the dynamics of the Euro-U.S. dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in supercooled or arrested states. In particular, we find that models used for arrested physical systems are suitable for describing the EURUSD fluctuation distributions. Whereas the corresponding mean-squared price displacement (MSPD) to the EURUSD is diffusive for all years, when focusing in selected time frames within a day, we find a two-step MSPD when the New York Stock Exchange market closes, comparable to the dynamics in supercooled systems. This is corroborated by looking at the price correlation functions and non-Gaussian parameters and can be described by the theoretical model. We discuss the origin and implications of this analogy. |
Subject(s):
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-currency exchange market -mercado de divisas -mercats de divises -Value -Valor (Economia) -Valor (Economía) |
Rights:
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CC BY-NC-ND
http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Document type:
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Article Article - Published version |
Published by:
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Physical Review Letters
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