Study on the Daily Exchange Rate Movement Based on the Model of Brownian Motion

DOI

10.2991/icemaess-15.2016.195How to use a DOI?

Keywords

Brownian motion; foreign exchange price; empirical study

Abstract

Theory of Brownian motion is often used to describe the random phenomena of chaos and disorder. This paper tries to make an empirical study on the price of foreign exchange by using theory of Brownian motion. First of all, we use the theory to establish a model to describe the behavior of foreign currency prices.Then the data of the Euro against the US dollar, the Australian dollar against the US dollar and Gold against the US dollar closing price per hour is introduced to simulate the exchange rate by using the model. Finally, we will use the simulated price and the actual price to do a comparative analysis, including the error range, motion direction and inflection point. It was found that the simulation and the actual exchange rate very similar, the results show that this model can be used to forecast.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jianguo Zhou
AU  - Wei Liu
PY  - 2015/12
DA  - 2015/12
TI  - Study on the Daily Exchange Rate Movement Based on the Model of Brownian Motion
BT  - Proceedings of the 2015 3rd International Conference on Education, Management, Arts, Economics and Social Science
PB  - Atlantis Press
SP  - 931
EP  - 936
SN  - 2352-5398
UR  - https://doi.org/10.2991/icemaess-15.2016.195
DO  - 10.2991/icemaess-15.2016.195
ID  - Zhou2015/12
ER  -