How to quantify deterministic and random influences on the statistics of the foreign exchange market
It is shown that price changes of the U.S. dollar-German mark exchange rates upon different delay times can be regarded as a stochastic Marcovian process. Furthermore, we show how Kramers-Moyal coefficients can be estimated from the empirical data. Finally, we present an explicit Fokker-Planck equation which models very precisely the empirical probability distributions, in particular, their non-Gaussian heavy tails.
Friedrich
R
Institute fur Theoretische Physik, Universitat Stuttgart, D-70550 Stuttgart, Germany.
Peinke
J
Renner
C