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Queueing theoretical analysis of foreign currency exchange rates

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タイトル: Queueing theoretical analysis of foreign currency exchange rates
著者: Inoue, Jun-ichi 著作を一覧する
Sazuka, Naoya 著作を一覧する
キーワード: PACS=02.50.Ga
PACS=02.50.Ey
PACS=89.65.Gh
発行日: 2010年 2月
出版者: Routledge
誌名: Quantitative Finance
巻: 10
号: 2
開始ページ: 121
終了ページ: 130
出版社 DOI: 10.1080/14697680802665859
抄録: We propose a useful approach for investigating the statistical properties of foreign currency exchange rates. Our approach is based on queueing theory, particularly, the so-called renewal-reward theorem. For the first passage processes of the Sony Bank US dollar/Japanese yen (USD/JPY) exchange rate, we evaluate the average waiting time which is defined as the average time that customers have to wait between any instant when they want to observe the rate (e.g. when they log in to their computer systems) and the next rate change. We find that the assumption of exponential distribution for the first-passage process should be rejected and that a Weibull distribution seems more suitable for explaining the stochastic process of the Sony Bank rate. Our approach also enables us to evaluate the expected reward for customers, i.e. one can predict how long customers must wait and how much reward they will obtain by the next price change after they log in to their computer systems. We check the validity of our prediction by comparing it with empirical data analysis.
Rights: This is an electronic version of an article published in Quantitative Finance, Volume 10, Issue 2, February 2010, pp. 121-130. Quantitative Finance is available online at: http://www.informaworld.com/openurl?genre=article&issn=1469-7688&volume=10&issue=2&spage=121
資料タイプ: article (author version)
URI: http://hdl.handle.net/2115/43310
出現コレクション:雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

提供者: 井上 純一

 

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