NDLI: Statistical model of exchange rate formation

Content Provider	Springer Nature Link
Author	Kuleshov, E. L.
Copyright Year	2013
Abstract	The exchange rate formation process is represented as the sum of a low-frequency deterministic trend and a high-frequency stationary random component for which the covariance function, the spectral density, and the increment correlation function are obtained. Theoretical results are in good agreement with the results of processing of observed data. The model explains the occurrence of Elliott waves on exchange rate paths and generates a parametric family of random processes with spectral characteristics ranging from white noise to a first-order autoregression process.
Starting Page	41
Ending Page	50
Page Count	10
File Format	PDF
ISSN	87566990
Journal	Optoelectronics, Instrumentation and Data Processing
Volume Number	49
Issue Number	1
e-ISSN	19347944
Language	English
Publisher	Allerton Press, Inc.
Publisher Date	2013-04-06
Publisher Place	Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	random process exchange rate covariance function spectral density autoregression processes Elliott waves Optics, Optoelectronics, Plasmonics and Optical Devices
Content Type	Text
Resource Type	Article
Subject	Instrumentation Condensed Matter Physics Electrical and Electronic Engineering

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Statistical model of exchange rate formation