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

Please use this identifier to cite or link to this item: https://repositorio.ufba.br/handle/ri/14668

metadata.dc.type:	Artigo de Periódico
Title:	Influence of government controls over the currency exchange rate in the evolution of Hurst's exponent: An autonomous agent-based model
Other Titles:	Physica A: Statistical Mechanics and its Applications
Authors:	Muñoz, Pablo Chávez Silva, Marcus Fernandes da Miranda, José Garcia Vivas Claro, Francisco Diniz, Raimundo Gomez
metadata.dc.creator:	Muñoz, Pablo Chávez Silva, Marcus Fernandes da Miranda, José Garcia Vivas Claro, Francisco Diniz, Raimundo Gomez
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.
metadata.dc.rights:	Acesso Aberto
URI:	http://repositorio.ufba.br/ri/handle/ri/14668
Issue Date:	2007
Appears in Collections:	Artigo Publicado em Periódico (FIS)

Files in This Item:

There are no files associated with this item.

DSpace JSPUI