dorsal/arxiv
View SchemaForeign exchange market fluctuations as random walk in demarcated complex plane
| Authors | Johnrob Bantang, May Lim, Patricia Arielle Castro, Christopher Monterola, Caesar Saloma |
|---|---|
| Categories | |
| ArXiv ID | physics/0308062 |
| URL | https://arxiv.org/abs/physics/0308062 |
Abstract
We show that time-dependent fluctuations $\{\Delta x\}$ in foreign exchange rates are accurately described by a random walk in a complex plane that is demarcated into the gain (+) and loss (-) sectors. $\{\Delta x\}$ is the outcome of $N$ random steps from the origin and $|\Delta x|$ is the square of the Euclidean distance of the final $N$-th step position. Sign of $\{\Delta x(t)\}$ is set by the $N$-th step location in the plane. The model explains not only the exponential statistics of the probability density of $\{\Delta x\}$ for G7 markets but also its observed asymmetry, and power-law dependent broadening with increasing time delay.
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"date_created": "2026-03-02T18:00:46.160000Z",
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"abstract": "We show that time-dependent fluctuations $\\{\\Delta x\\}$ in foreign exchange\nrates are accurately described by a random walk in a complex plane that is\ndemarcated into the gain (+) and loss (-) sectors. $\\{\\Delta x\\}$ is the\noutcome of $N$ random steps from the origin and $|\\Delta x|$ is the square of\nthe Euclidean distance of the final $N$-th step position. Sign of $\\{\\Delta\nx(t)\\}$ is set by the $N$-th step location in the plane. The model explains not\nonly the exponential statistics of the probability density of $\\{\\Delta x\\}$\nfor G7 markets but also its observed asymmetry, and power-law dependent\nbroadening with increasing time delay.",
"arxiv_id": "physics/0308062",
"authors": [
"Johnrob Bantang",
"May Lim",
"Patricia Arielle Castro",
"Christopher Monterola",
"Caesar Saloma"
],
"categories": [
"physics.comp-ph",
"q-fin.ST"
],
"title": "Foreign exchange market fluctuations as random walk in demarcated complex plane",
"url": "https://arxiv.org/abs/physics/0308062"
},
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"execution_id": "5d9b2b84-7d7d-4abb-a400-4ac008d82075",
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"type": "Model",
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