Proceedings of the Japan Joint Automatic Control Conference
THE 59TH JAPAN JOINT AUTOMATIC CONTROL CONFERENCE
Session ID : ThB4-5
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Application of Stochastic Theory of Many-Body Systems to Foreign Exchange Markets
*K. KanazawaT. SueshigeH. TakayasuM. Takayasu
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Abstract

We study foreign exchange markets on the basis of many-body stochastic processes. We consider a stochastic system with many traders who transact their currencies with each other to investigate the statistics of price differences and the typical order-book profile numerically and theoretically. We also analyze data in a real foreign exchange market in terms of both price and order-book distribution, and check the consistence between our model and the empirical results.

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© 2016 The Japan Society of Mechanical Engineers
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