Analysis of Fokker-Planck approach for foreign exchange market statistics study

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 203-206

  Smirnov, A P ^a   Shmelev, A B ^a   Sheinin, E Ya ^b  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

^b PRIMAKOV NATIONAL RESEARCH INSTITUTE OF WORLD ECONOMY AND INTERNATIONAL RELATIONS   (Russian Federation)

Author keywords

Fokker Planck; Foreign exchange market

Indexed keywords

APPROXIMATION THEORY; DATA ACQUISITION; ESTIMATION; FUNCTIONS; INTEGRATION; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES; STATISTICAL METHODS;

FOKKER-PLANCK; FOREIGN EXCHANGE MARKET; KRAMERS-MOYAL COEFFICIENTS; MARCOVIAN PROCESS;

MARKETING;

EID: 5444239850     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.117     Document Type: Conference Paper

References (1)

1. R. Friedrich, J. Peinke, Ch. Renner, Phys. Rev. Lett. 84 (2000) 5224.