Recurrence Analysis of the Economic Behavior of Agents of the Frequency of Online Exchange Rate in the Information Environment
Kucherova Hanna, Dmytro Ocheretin, Vita Los, Olha Bilska
Available Online 23 March 2020.
- https://doi.org/10.2991/aebmr.k.200318.035How to use a DOI?
- request frequency, exchange rate, dollar, euro, information activity, pseudo phase space, phase portrait, recurrence plot, behavior of socio-economic agents
- The behavior of the socio-economic agents of the foreign exchange market has always been characterized by insufficient predictability, therefore today researchers do not leave the search for new methods and indicators for their prediction. With the development of the information society and online technologies, one of the manifestations of the behavior of agents in the foreign exchange market has become their semantic-thematic online queries in search engines. Considering that the time series of exchange rates have been sufficiently studied, insufficient attention has been paid to the dynamics of the frequency of requests for exchange rates as to the parameters of the online behavior of foreign exchange market agents. Since the dynamics of the frequency of requests for exchange rates (dollar, euro) is non-linear, a recurrence analysis was applied. The results of this analysis proved that the tendencies of informational activity of agents are characterized by an antipersistent type of behavior with periodicity and the presence of drift, which are manifested in varying degrees for each exchange rate. If for the indicator of the dollar exchange rate a concentration of interest of market agents near the trajectory of a certain attractor with other deviations due to other factors is shown, then a similar indicator of the euro exchange rate is characterized by a more pronounced and stable over time cyclical manifestation of information activity of agents. In further researches, it is planned to implement a quantitative analysis of the constructed recurrence plots in order to take into account the behavior of the agents of the foreign exchange market.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Kucherova Hanna AU - Dmytro Ocheretin AU - Vita Los AU - Olha Bilska PY - 2020 DA - 2020/03/23 TI - Recurrence Analysis of the Economic Behavior of Agents of the Frequency of Online Exchange Rate in the Information Environment BT - III International Scientific Congress Society of Ambient Intelligence 2020 (ISC-SAI 2020) PB - Atlantis Press SP - 279 EP - 288 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.200318.035 DO - https://doi.org/10.2991/aebmr.k.200318.035 ID - Hanna2020 ER -