Intra-daily dynamics of dollar-sterling exchange market
Hadjipantelis, Pantelis-Zenon (2010) Intra-daily dynamics of dollar-sterling exchange market. Working Paper. University of Warwick: University of Warwick..
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This report describes the results of an initial exercise to explore the stylized facts of the dynamic properties of exchange rates employing a behavioral finance framework and high-frequency, second-scale, data. It uses a heterogeneous agent model, where chartist and fundamentalist traders coexist, in order to offer insights on their intra-daily movements and responses, to different market states. We find significant variations between the variables used to describe the agent's behavior in daily scales and that of intra-daily scales. The evolutionary stability of the otherwise irrational chartist behavior is demonstrated.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Science > Physics|
|Library of Congress Subject Headings (LCSH):||Foreign exchange rates -- Econometric models, Dollar, American, Pound, British|
|Publisher:||University of Warwick|
|Place of Publication:||University of Warwick|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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