doi: 10.7763/IJMO.2012.V2.133
Modeling and Simulation of Currency Exchange Rate Using Multifractional Process with Random Exponent
Sergio Bianchi
,
Alexandre Pantanella
,
Augusto Pianese
- Department of Economics and Law, University of Cassino, (FR), Italy,.
Abstract
In this work, assuming as a model the Multifractional Processes with Random Exponent (MPRE), we propose a simulation algorithm able to replicate financial time series, specifically pertaining to the FX market. We show how, properly choosing the functional parameter of the MPRE, the simulated series fit with significant accuracy the actual ones. It is worthwhile to underline that the sole knowledge of the functional parameter ensures by itself that the surrogates succeed in replicating the empirical data. The results can be used in scenario analysis as well as in forecasting.
Keywords
- Financial modeling
- goodness of fit
- multifractional processes
- simulation
How to Cite
Sergio Bianchi, Alexandre Pantanella, and Augusto Pianese, "Modeling and Simulation of Currency Exchange Rate Using Multifractional Process with Random Exponent," International Journal of Modeling and Optimization, vol. 2, no. 3, pp. 309-314, 2012. https://doi.org/ 10.7763/IJMO.2012.V2.133
Copyright & License
Copyright © 2012 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).