Regensburg 2000 – wissenschaftliches Programm
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DY: Dynamik und Statistische Physik
DY 46: POSTER II
DY 46.21: Poster
Donnerstag, 30. März 2000, 15:00–18:00, D
Markov-properties of high-frequency exchange rate data — •Christoph Renner1, Joachim Peinke1, and Rudolf Friedrich2 — 1FB Physik, Universtit"at Oldenburg, 26111 Oldenburg — 2Theoretische Physik, Universit"at Stuttgart, 70550 Stuttgart
Analyzing a data set consisting of 1.5 · 106 quotes for the US-Dollar/German Mark exchange rate (furtheron denoted by x(t)), we find evidence that the prize changes Δ x = x(t+τ) −x(t) over a time delay τ can be described by a Markov-Process. That allows a detailed description of the statistical properties of Δ x as a function of the time delay τ. In particular we derive a Fokker-Planck-equation which reproduces the evolution of the probability density functions (pdfs) P(Δ x, τ) in τ very precisely, including a correct description of the heavy-tailed wings of those pdfs which significantly deviat from gaussian shape. This phenomenon is compared with the well-known effect of intermittency in turbulence.