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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)
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
Date: 2010
Status: Not Peer Reviewed
Access rights to Published version: Open Access
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URI: http://wrap.warwick.ac.uk/id/eprint/3956

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