Advertisement

Chaotic Foreign Exchange Rates

  • Beate Reszat
Conference paper

Abstract

Studies of chaotic exchange rates often concentrate on empirical aspects. They comb large numbers of data in search of traces of a strange attractor. In contrast, this paper tries to explain how exchange rates may become chaotic. Starting from an assumption about different groups of traders that goes beyond recent models of fundamentalists’ and chartists’ behaviour it emphasizes the need to model the foreign exchange market as a dissipative system and not, as usual, as a closed conservative one.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Allen, H. and M.P. Taylor. 1990. Charts, Noise and Fundamentals in the London Foreign Exchange Market. Economic Journal 400:49–59.CrossRefGoogle Scholar
  2. Mandelbrot, B. 1963. The Variation of Certain Speculative Prices. Journal of Business 36:394–419.CrossRefGoogle Scholar
  3. B. Reszat: Dissipation and Chaos in Foreign Exchange Markets, forthcoming, Utrecht 1992.Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 1993

Authors and Affiliations

  • Beate Reszat
    • 1
  1. 1.HWWA-Institut für WirtschaftsforschungHamburg 36Germany

Personalised recommendations