Hybrid dynamics for currency modeling

Preprint OPEN
Theodosopoulos, Ted; Trifunovic, Alex;
(2006)
  • Subject: 37B10 | Mathematics - Probability | 60G40 | 91B28 | Mathematics - Dynamical Systems | Quantitative Finance - Statistical Finance

We present a simple hybrid dynamical model as a tool to investigate behavioral strategies based on trend following. The multiplicative symbolic dynamics are generated using a lognormal diffusion model for the at-the-money implied volatility term structure. Thus, are mod... View more
  • References (14)
    14 references, page 1 of 2

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