Modeling the demand–price relations in a high-frequency foreign exchange market

Anatoly B Schmidt

Physica A: Statistical Mechanics and its Applications, 1999, vol. 271, issue 3, 507-514

Abstract: A stochastic nonlinear dynamics model is introduced in terms of observable variables (price and excess demand assumed to be proportional to the number of buyers) to describe a high-frequency foreign exchange market. It is shown how the fundamentalist and chartist patterns of the trader behavior affect the correlation between excess demand and exchange rates.

Keywords: Nonlinear dynamics; Foreign exchange market (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:271:y:1999:i:3:p:507-514

DOI: 10.1016/S0378-4371(99)00269-1

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