On the rigid body behavior of foreign exchange markets

Lorenzo Matassini

Physica A: Statistical Mechanics and its Applications, 2002, vol. 308, issue 1, 402-410

Abstract: We propose a method to characterize the behavior of a foreign exchange market, introducing a mapping from the N assets to a liquid of N particles, which is studied by means of its empirical kinetic properties. We present the resulting rigid body behavior investigating daily foreign exchange market data for USD, DEM and YEN in the period of time from 9 April 1973 to 15 November 1997.

Keywords: Foreign exchange markets; Econophysics; Liquid theory (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:308:y:2002:i:1:p:402-410

DOI: 10.1016/S0378-4371(02)00594-0

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