A Stochastic Cascade Model for FX Dynamics
A Stochastic Cascade Model for FX Dynamics
复制标题
外汇动态的随机级联模型
DOI：
10.1142/s021902490000019x
复制
发表时间：
2000
期刊：
影响因子：
--
通讯作者：
P. Talkner
中科院分区：
文献类型：
--
作者：
W. Breymann;S. Ghashghaie;P. Talkner
提出了外汇动态的时间序列模型，该模型考虑了市场的结构特性，即其异质性和从长期到短期的信息流。该模型源自外汇动力学和流体动力学湍流之间的类比。市场的异质性以时间尺度的乘法级联的形式建模，从几分钟到几个月不等，类似于湍流中的柯尔莫哥洛夫级联。该模型很好地再现了主要货币汇率的重要经验特征，如回报的重尾分布、其形状随时间间隔的增加而变化以及波动的持续性。
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy between FX dynamics and hydrodynamic turbulence. The heterogeneity of the market is modeled in form of a multiplicative cascade of time scales ranging from several minutes to a few months, analogous to the Kolmogorov cascade in turbulence. The model reproduces well the important empirical characteristics of FX rates for major currencies, as the heavy-tailed distribution of returns, their change in shape with increasing time interval, and the persistence of volatility.