How to quantify deterministic and random influences on the statistics of the foreign exchange market

Physical Review Letters

Volumn 84, Issue 22, 2000, Pages 5224-5227

  Friedrich, R ^a   Peinke, J ^b   Renner, Ch ^b  

^a UNIVERSITY OF STUTTGART   (Germany)

^b UNIVERSITY OF OLDENBURG   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001273260     PISSN: 00319007     EISSN: 10797114     Source Type: Journal    
DOI: 10.1103/PhysRevLett.84.5224     Document Type: Article

References (20)

1. U. A. Müller, et al, J. Banking Finance, 14, 1189–1208 (1990).
2. R. N. Mantegna and H. E. Stanley, Nature (London), 376, 46–49 (1995).
3. J. C. Vassilicos, Nature (London), 374, 408–409 (1995).
4. The 1st International Conference on High Frequency Data in Finance (Olsen & Associates, Zürich, 1995).
5. U. A. Müller, et al, J. Empirical Fin. (to be published).
6. R. N. Mantegna and H. E. N. Stanley, Nature (London), 383, 587–588 (1996).
7. C. Beck and A. Hilgers, Int. J. Bifurcation Chaos, 7, 1855 (1997)
8. F. Schmitt, D. Schertzer, and S. Lovejoy, Appl. Stochastic Data Anal., 15, 29 (1999)
9. A. Arneodo, J.-F. Muzy, and D. Sornette, Eur. Phys. J. B, 2, 277–282 (1998).
10. S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, and Y. Dodge, Nature (London), 381, 767–770 (1996).
11. U. Frisch, Turbulence (Cambridge University Press, Cambridge, England, 1995).
12. A. N. Shiryaev, Essentials of Finance (World Scientific, Singapore, 1999).
13. A. A. Donkov, A. D. Donkov, and E. I. Grancharova, math-ph/9807010.
14. R. Friedrich and J. Peinke, Physica (Amsterdam), 102D, 147 (1997)
15. R. Friedrich, J. Peinke, Phys. Rev. Lett., 78, 863 (1997).
16. H. Risken, The Fokker-Planck Equation (Springer-Verlag, Berlin, 1984)
17. P. Hänggi and H. Thomas, Phys. Rep., 88, 207 (1982)
18. N. G. Van Kampen, Stochastic Processes in Physics and Chemistry (North-Holland, Amsterdam, 1981)
19. C. W. Gardiner, Handbook of Stochastic Methods (Springer-Verlag, Berlin, 1983).
20. D. T. Gillespie, Markov Processes (Academic Press, Boston, 1992).