Markov decision processes and determining the exchange rate

Sławomir Mentzen ()

Acta Universitatis Nicolai Copernici, Ekonomia, 2011, vol. 42, 23-36

Abstract: The paper describes the theoretical foundations of Markov decision processes (MDP), presents the exchange market located in Torun's Old Town, with particular emphasis on tested exchange, and describes a simple model for an exchange, which was examined using the MDP. As a result, found the optimal policy for determining the exchange rate for two currencies - the euro and the dollar.

Keywords: Markov decision processes; exchange; optimal decisions (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2011:p:23-36

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