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Queueing theoretical analysis of foreign currency exchange rates
| Title: | Queueing theoretical analysis of foreign currency exchange rates |
| Authors: | Inoue, Jun-ichi Browse this author →KAKEN DB | | Sazuka, Naoya Browse this author |
| Keywords: | PACS=02.50.Ga | | PACS=02.50.Ey | | PACS=89.65.Gh |
| Issue Date: | Feb-2010 |
| Publisher: | Routledge |
| Journal Title: | Quantitative Finance |
| Volume: | 10 |
| Issue: | 2 |
| Start Page: | 121 |
| End Page: | 130 |
| Publisher DOI: | 10.1080/14697680802665859 |
| Abstract: | 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 |
| Type: | article (author version) |
| URI: | http://hdl.handle.net/2115/43310 |
| Appears in Collections: | 情報科学院・情報科学研究院 (Graduate School of Information Science and Technology / Faculty of Information Science and Technology) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)
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Submitter: 井上 純一
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