Multivariable nonlinear analysis of foreign exchange rates

Tomoya Suzuki, Tohru Ikeguchi and Masuo Suzuki

Physica A: Statistical Mechanics and its Applications, 2003, vol. 323, issue C, 591-600

Abstract: We analyze the multivariable time series of foreign exchange rates. These are price movements that have often been analyzed, and dealing time intervals and spreads between bid and ask prices. Considering dealing time intervals as event timing such as neurons’ firings, we use raster plots (RPs) and peri-stimulus time histograms (PSTHs) which are popular methods in the field of neurophysiology. Introducing special processings to obtaining RPs and PSTHs time histograms for analyzing exchange rates time series, we discover that there exists dynamical interaction among three variables. We also find that adopting multivariables leads to improvements of prediction accuracy.

Keywords: Econophysics; Exchange market; Spreads; Dealing time intervals; Raster plot; PSTH (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:323:y:2003:i:c:p:591-600

DOI: 10.1016/S0378-4371(03)00052-9

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