Modeling TradersХ Expectations in the FX Market in Terms of Distributions with a Functional Parameter

Vladimir R. Evstigneev ()
Additional contact information
Vladimir R. Evstigneev: National Research University Higher School of Economics, Moscow 101000, Russia

Finansovyj žhurnal — Financial Journal, 2014, issue 1, 25-34

Abstract: The paper models a subjective probability density function ascribed to traders in the forex market. The density is obtained simultaneously with its local functional ЗcenterИ, i. e. the value that depends upon the variable and with regard to which central moments are evaluated. Both functions are obtained as solutions to one and the same variational problem. The solution is compatible with some crucial results in behavioral finance. Empirical results concerning the FX market forecasting are obtained and discussed.

Keywords: forex market; subjective expectations; behavioral finance; probability density function; calculus of variations (search for similar items in EconPapers)
JEL-codes: G15 G17 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nifi.ru/images/FILES/Journal/Archive/2014/1/03_1_2014.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fru:finjrn:140103:p:25-34

Access Statistics for this article

Finansovyj žhurnal — Financial Journal is currently edited by Vladimir S. Nazarov

More articles in Finansovyj žhurnal — Financial Journal from Financial Research Institute, Moscow 125375, Russia Contact information at EDIRC.
Bibliographic data for series maintained by Gennady Ageev ().