dorsal/arxiv
View SchemaQueueing theoretical analysis of foreign currency exchange rates
| Authors | Jun-ichi Inoue, Naoya Sazuka |
|---|---|
| Categories | |
| ArXiv ID | physics/0606040 |
| URL | https://arxiv.org/abs/physics/0606040 |
Abstract
We propose a useful approach for investigating the statistical properties of foreign currency exchange rates. Our approach is based on queueing theory, particularly, the so-called renewal-reward theorem. For the first passage processes of the Sony Bank US dollar/Japanese yen (USD/JPY) exchange rate, we evaluate the average waiting time which is defined as the average time that customers have to wait between any instant when they want to observe the rate (e.g. when they log in to their computer systems) and the next rate change. We find that the assumption of exponential distribution for the first-passage process should be rejected and that a Weibull distribution seems more suitable for explaining the stochastic process of the Sony Bank rate. Our approach also enables us to evaluate the expected reward for customers, i.e. one can predict how long customers must wait and how much reward they will obtain by the next price change after they log in to their computer systems. We check the validity of our prediction by comparing it with empirical data analysis.
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"abstract": "We propose a useful approach for investigating the statistical properties of\nforeign currency exchange rates. Our approach is based on queueing theory,\nparticularly, the so-called renewal-reward theorem. For the first passage\nprocesses of the Sony Bank US dollar/Japanese yen (USD/JPY) exchange rate, we\nevaluate the average waiting time which is defined as the average time that\ncustomers have to wait between any instant when they want to observe the rate\n(e.g. when they log in to their computer systems) and the next rate change. We\nfind that the assumption of exponential distribution for the first-passage\nprocess should be rejected and that a Weibull distribution seems more suitable\nfor explaining the stochastic process of the Sony Bank rate. Our approach also\nenables us to evaluate the expected reward for customers, i.e. one can predict\nhow long customers must wait and how much reward they will obtain by the next\nprice change after they log in to their computer systems. We check the validity\nof our prediction by comparing it with empirical data analysis.",
"arxiv_id": "physics/0606040",
"authors": [
"Jun-ichi Inoue",
"Naoya Sazuka"
],
"categories": [
"physics.data-an",
"physics.comp-ph",
"q-fin.ST"
],
"title": "Queueing theoretical analysis of foreign currency exchange rates",
"url": "https://arxiv.org/abs/physics/0606040"
},
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