On the rigid body behavior of foreign exchange markets

Matassini, L.

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On the rigid body behavior of foreign exchange markets

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Matassini, L.
Max Planck Institute for the Physics of Complex Systems, Max Planck Society;

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Matassini, L. (2002). On the rigid body behavior of foreign exchange markets. Physica A, 308(1-4), 402-410. Retrieved from http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6TVG-45D8KTR-5&_user=42421&_handle=W-WA-A-A-VZ-MsSAYWW-UUW-AUCCVWVCEV-EVAUWUCE-VZ-U&_fmt=summary&_coverDate=05%2F15%2F2002&_rdoc=34&_orig=browse&_srch=%23toc%235534%232002%23996919998%23315899!&_cdi=5534&view=c&_acct=C000002818&_version=1&_urlVersion=0&_userid=42421&md5=9a18371dfd4996ac8220d71814decdb9.

Cite as: https://hdl.handle.net/11858/00-001M-0000-002B-378E-4

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. (C) 2002 Elsevier Science B.V. All rights reserved.