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Stochastic Theory of Foreign Exchange Market Dynamics

Nikolai Laskin
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Abstract

A new stochastic theory of a foreign exchange markets dynamics is developed. As a result we have the new probability distribution which well describes statistical and scaling dependencies ''experimentally'' observed in foreign exchange markets in recent years. The developed dynamic theory is compared with well-known phenomenological Levy distribution approach which is widely applied to this problem. It is shown that the developed stochastic dynamics and phenomenological approach based on the Levy distribution give the same statistical and scaling dependencies.

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Nikolai Laskin. 1999-09-29. Stochastic Theory of Foreign Exchange Market Dynamics. https://arxiv.org/abs/cond-mat/9909427

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