Dresden 2003 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 2: Finanzm
ärkte und Risikomanagement II

AKSOE 2.2: Vortrag

Montag, 24. März 2003, 14:30–15:00, BAR/205

Dynamical features and cascade-like structures in foreign exchange (FX) rate data — •Mathias Karth and Joachim Peinke — Carl-von-Ossietzky-Universität Oldenburg, 26111 Oldenburg, Germany

We present an analysis of the exchange rate of the US Dollar against the German Mark. Emphasis is put on the description of dynamical properties of the basic stochastic process and on a comprehensive statistical description in terms of probabilities of changes in the FX rate over different time-scales tau. In particular, we investigate returns and logarithmic returns as relevant quantities for the financial market, also in comparison to price increments. We demonstrate how it is possible to discern between deterministic and diffusive influences in the FX rate dynamics by means of a Langevin model for the process. Here we describe differences in the dynamical behaviour in comparison to often used stochastic models like (G)ARCH-processes.

Furthermore we show how to describe the evolution of the probability density functions of incremental changes in the FX data over the corresponding time-scale by usage of a Fokker-Planck-equation, whose coefficients can be estimated out of the data without the need for a concrete model of the stochastic process.