Diffusive and Arrestedlike Dynamics in Currency Exchange Markets
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 marke...
| Main Authors: | , , , , |
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| Format: | info:eu-repo/semantics/article |
| Language: | English |
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PHYSICAL REVIEW LETTERS
2017
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| Online Access: | http://hdl.handle.net/10835/4868 https://doi.org/10.1103/PhysRevLett.118.068301 |
| _version_ | 1789406539606392832 |
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| author | Clara-Rahola, J. Puertas López, Antonio M. Sánchez-Granero, M.A Trinidad Segovia, J.E Nieves López, Francisco Javier de las |
| author_facet | Clara-Rahola, J. Puertas López, Antonio M. Sánchez-Granero, M.A Trinidad Segovia, J.E Nieves López, Francisco Javier de las |
| author_sort | Clara-Rahola, J. |
| collection | DSpace |
| description | 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. |
| format | info:eu-repo/semantics/article |
| id | oai:repositorio.ual.es:10835-4868 |
| institution | Universidad de Cuenca |
| language | English |
| publishDate | 2017 |
| publisher | PHYSICAL REVIEW LETTERS |
| record_format | dspace |
| spelling | oai:repositorio.ual.es:10835-48682023-04-12T19:38:16Z Diffusive and Arrestedlike Dynamics in Currency Exchange Markets Clara-Rahola, J. Puertas López, Antonio M. Sánchez-Granero, M.A Trinidad Segovia, J.E Nieves López, Francisco Javier de las 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. 2017-06-16T11:31:13Z 2017-06-16T11:31:13Z 2017 info:eu-repo/semantics/article © 2017 American Physical Society http://hdl.handle.net/10835/4868 https://doi.org/10.1103/PhysRevLett.118.068301 en https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.118.068301 Attribution-NonCommercial-NoDerivatives 4.0 Internacional http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess PHYSICAL REVIEW LETTERS |
| spellingShingle | Clara-Rahola, J. Puertas López, Antonio M. Sánchez-Granero, M.A Trinidad Segovia, J.E Nieves López, Francisco Javier de las Diffusive and Arrestedlike Dynamics in Currency Exchange Markets |
| title | Diffusive and Arrestedlike Dynamics in Currency Exchange Markets |
| title_full | Diffusive and Arrestedlike Dynamics in Currency Exchange Markets |
| title_fullStr | Diffusive and Arrestedlike Dynamics in Currency Exchange Markets |
| title_full_unstemmed | Diffusive and Arrestedlike Dynamics in Currency Exchange Markets |
| title_short | Diffusive and Arrestedlike Dynamics in Currency Exchange Markets |
| title_sort | diffusive and arrestedlike dynamics in currency exchange markets |
| url | http://hdl.handle.net/10835/4868 https://doi.org/10.1103/PhysRevLett.118.068301 |
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