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Diffusive and Arrestedlike Dynamics in Currency Exchange Markets
- Source :
- riUAL. Repositorio Institucional de la Universidad de Almería, Universidad de Almería, O2, repositorio institucional de la UOC, Universitat Oberta de Catalunya (UOC), Recercat. Dipósit de la Recerca de Catalunya, instname
- Publication Year :
- 2017
- Publisher :
- PHYSICAL REVIEW LETTERS, 2017.
-
Abstract
- This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US 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.<br />6 pages, 4 figures
- Subjects :
- Physics - Physics and Society
Work (thermodynamics)
mercats de divises
Physical system
FOS: Physical sciences
General Physics and Astronomy
Physics and Society (physics.soc-ph)
02 engineering and technology
Condensed Matter - Soft Condensed Matter
01 natural sciences
FOS: Economics and business
Stock exchange
0103 physical sciences
Economics
Statistical physics
010306 general physics
Statistical Finance (q-fin.ST)
Dynamics (mechanics)
currency exchange market
Quantitative Finance - Statistical Finance
021001 nanoscience & nanotechnology
Symmetry (physics)
Valor (Economía)
Colloidal particle
Currency
mercado de divisas
Valor (Economia)
Liberian dollar
Soft Condensed Matter (cond-mat.soft)
0210 nano-technology
Value
Subjects
Details
- Database :
- OpenAIRE
- Journal :
- riUAL. Repositorio Institucional de la Universidad de Almería, Universidad de Almería, O2, repositorio institucional de la UOC, Universitat Oberta de Catalunya (UOC), Recercat. Dipósit de la Recerca de Catalunya, instname
- Accession number :
- edsair.doi.dedup.....c3f8b198f362c2881abf26c89a49df96