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Non-Gaussian statistics on the Forex
|Piotr Kosewski , Ryszard Kutner
Warsaw University, Faculty of Physics, Hoża 69, Warszawa 00-681, Poland
We compare the dynamics of the Forex in the vicinity of a crash and far from it. We found that in both cases the stochastic dynamics of exchange rates is strongly non-Gaussian. For example, we observed that EUR/USD rate statistics obeys almost a cubic law with Pareto index increasing toward the crash. Our study is supported by analysis of the most probable losses, which increase toward the crash as it was expected. Our project is to consider the rate dynamics on the basic of more microscopic models, which produce tails fatter than the Levy algebraic tail.
|Auxiliary resources (full texts, presentations, posters, etc.)
Presentation: Poster at 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Piotr Kosewski
See On-line Journal of 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"
Submitted: 2010-10-08 08:00 Revised: 2010-11-22 10:34