Influence of government controls over the currency exchange rate in the evolution of Hurst's exponent: An autonomous agent-based model

Pablo Chávez Muñoz, Marcus Fernandes da Silva, José Vivas Miranda, Francisco Claro and Raimundo Gomez Diniz

Physica A: Statistical Mechanics and its Applications, 2007, vol. 386, issue 2, 786-790

Abstract: We have studied the performance of the Hurst's index associated with the currency exchange rate in Brazil and Chile. It is shown that this index maps the degree of government control in the exchange rate. A model of supply and demand based in an autonomous agent is proposed, that simulates a virtual market of sale and purchase, where buyer or seller are forced to negotiate through an intermediary. According to this model, the average of the price of daily transactions correspond to the theoretical balance proposed by the law of supply and demand. The influence of an added tendency factor is also analyzed.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:386:y:2007:i:2:p:786-790

DOI: 10.1016/j.physa.2007.07.009

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