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Influence of government controls over the currency exchange rate in the evolution of Hurst's exponent: An autonomous agent-based model

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  • Chávez Muñoz, Pablo
  • Fernandes da Silva, Marcus
  • Vivas Miranda, José
  • Claro, Francisco
  • Gomez Diniz, Raimundo
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    Abstract

    We have studied the performance of the Hurst's index associated with the currency exchange rate in Brazil and Chile. It is shown that this index maps the degree of government control in the exchange rate. A model of supply and demand based in an autonomous agent is proposed, that simulates a virtual market of sale and purchase, where buyer or seller are forced to negotiate through an intermediary. According to this model, the average of the price of daily transactions correspond to the theoretical balance proposed by the law of supply and demand. The influence of an added tendency factor is also analyzed.

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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 386 (2007)
    Issue (Month): 2 ()
    Pages: 786-790

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    Handle: RePEc:eee:phsmap:v:386:y:2007:i:2:p:786-790

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    1. Cajueiro, Daniel O & Tabak, Benjamin M, 2004. "The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 521-537.
    2. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-37, February.
    3. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-36, August.
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    Cited by:
    1. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
    2. Cristescu, C.P. & Stan, C. & Scarlat, E.I., 2009. "The dynamics of exchange rate time series and the chaos game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(23), pages 4845-4855.

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