The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market
Open accessAbstract
It is shown that price changes of the U.S. dollar-German mark exchange rates upon different delay times can be regarded as a stochastic Marcovian process. Furthermore, we show how Kramers-Moyal coefficients can be estimated from the empirical data. Finally, we present an explicit Fokker-Planck equation which models very precisely the empirical probability distributions, in particular, their non-Gaussian heavy tails.
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Stochastic processes: Time evolution, symmetries and linear response
Hänggi, P., & Thomas, H. (1982) · Physics Reports · doi:10.1016/0370-1573(82)90045-x · Cited by 659
Cited by
Dimensionality and Dynamics in the Behavior of C. elegans
Stephens, G. J., Johnson-Kerner, B., Bialek, W., & Ryu, W. S. (2008) · PLoS Computational Biology · doi:10.1371/journal.pcbi.1000028 · Cited by 509
Approaching complexity by stochastic methods: From biological systems to turbulence
Friedrich, R., Peinke, J., Sahimi, M., & Reza Rahimi Tabar, M. (2011) · Physics Reports · doi:10.1016/j.physrep.2011.05.003 · Cited by 349
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Metadata
- Authors
- Friedrich, R., Peinke, J., & Renner, C.
- Venue
- Physical Review Letters
- Publisher
- American Physical Society (APS)
- Published
- 2000-05-29
- Volume
- 84
- Issue
- 22
- Pages
- 5224-5227
- ISSN
- 0031-9007 (ISSN-L)
- 1079-7114
- OpenAlex
- W1989430166
- Cited by
- 205
- References
- 1
- FWCI
- 27.16
- Type
- journal article
- Language
- en
- Open access
- green
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- Friedrich, R., Peinke, J., & Renner, C. (2000). How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market. Physical Review Letters. https://doi.org/10.1103/physrevlett.84.5224
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