Subjective Image of the Forthcoming - How FX Marketparticipants Construct Their prospects on the Nearest future

V. Evstigneev ()

Voprosy Ekonomiki, 2014, issue 5

Abstract: A formalism is developed to model time evolution of traders’ expectations in the FX market. The paper proves that the next-period probabilistic perspective follows the path of the fastest growth of subjective uncertainty and new information embodied in the next-period distribution. Time evolution is modeled in terms of a Fredholm-type integral equation. A technique is suggested to recover the spectrum of an unknown second-order differential operator.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:nos:voprec:y:2014:id:642

DOI: 10.32609/0042-8736-2014-5-66-83

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