open access

https://hdl.handle.net/2115/43310

Queueing theoretical analysis of foreign currency exchange rates

英語

PACS=89.65.Gh

2010-02

Routledge

Quantitative Finance

10(2)

121-130

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.

学術雑誌論文

Accepted Manuscript

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

1469-7688

1469-7696

AA11586119