{
  "annotation_id": "0801a094-9c41-4d9b-bafa-9c844517789c",
  "date_created": "2026-03-02T18:01:00.872000Z",
  "date_modified": "2026-03-02T18:01:00.872000Z",
  "file_hash": "3827f31afef5106f0ea22d6dcf23dcd5eb9e0bacb0a64337791f67cf9c3b0e7b",
  "private": false,
  "record": {
    "abstract": "We introduce an autoregressive-type model with self-modulation effects for a\nforeign exchange rate by separating the foreign exchange rate into a moving\naverage rate and an uncorrelated noise. From this model we indicate that\ntraders are mainly using strategies with weighted feedbacks of the past rates\nin the exchange market. These feedbacks are responsible for a power law\ndistribution and characteristic autocorrelations of rate changes.",
    "arxiv_id": "physics/0508162",
    "authors": [
      "Takayuki Mizuno",
      "Misako Takayasu",
      "Hideki Takayasu"
    ],
    "categories": [
      "physics.soc-ph",
      "physics.data-an",
      "q-fin.ST"
    ],
    "title": "Modeling a foreign exchange rate using moving average of Yen-Dollar   market data",
    "url": "https://arxiv.org/abs/physics/0508162"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "8e73e2f0-d3bb-4422-8750-edf7e4b46b40",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}