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.
WRAP_Pantelis_-report_v1_pantelis.pdf - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
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|Status:||Not Peer Reviewed|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|
 Monetary, E. Department, Triennial central bank survey of foreign exchange and derivatives market
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