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Intra-daily dynamics of dollar-sterling exchange market
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Hadjipantelis, Pantelis-Zenon (2010) Intra-daily dynamics of dollar-sterling exchange market. Working Paper. University of Warwick: University of Warwick.
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Abstract
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) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Science, Engineering and Medicine > 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 | ||||
Official Date: | 2010 | ||||
Dates: |
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Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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