Clara-Rahola J, Puertas A M, Sánchez-Granero M A, Trinidad-Segovia J E, de Las Nieves F J
Department of Applied Physics, University of Almería, 04120 Almería, Spain.
i2TiC Multidisciplinary Research Group, Open University of Catalonia, 08035 Barcelona, Spain.
Phys Rev Lett. 2017 Feb 10;118(6):068301. doi: 10.1103/PhysRevLett.118.068301.
This work studies the symmetry between colloidal dynamics and the dynamics of the Euro-U.S. dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in supercooled or arrested states. In particular, we find that models used for arrested physical systems are suitable for describing the EURUSD fluctuation distributions. Whereas the corresponding mean-squared price displacement (MSPD) to the EURUSD is diffusive for all years, when focusing in selected time frames within a day, we find a two-step MSPD when the New York Stock Exchange market closes, comparable to the dynamics in supercooled systems. This is corroborated by looking at the price correlation functions and non-Gaussian parameters and can be described by the theoretical model. We discuss the origin and implications of this analogy.
本研究探讨了胶体动力学与欧元兑美元货币兑换市场（EURUSD）动态之间的对称性。我们考虑了2001年至2015年期间的欧元兑美元价格，发现在该市场的波动分布与处于过冷或停滞状态的胶体颗粒的波动分布之间存在显著的定性对称性。特别是，我们发现用于描述停滞物理系统的模型适用于描述欧元兑美元的波动分布。虽然欧元兑美元相应的均方价格位移（MSPD）在所有年份都是扩散性的，但当关注一天内的特定时间段时，我们发现在纽约证券交易所市场收盘时存在两步MSPD，这与过冷系统中的动态情况类似。通过观察价格相关函数和非高斯参数可以证实这一点，并且可以用理论模型来描述。我们讨论了这种类比的起源和意义。
