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Subjective Image of the Forthcoming - How FX Marketparticipants Construct Their prospects on the Nearest future

https://doi.org/10.32609/0042-8736-2014-5-66-83

Abstract

A formalism is developed to model time evolution of traders’ expectations in the FX market. The paper proves that the next-period probabilistic perspective follows the path of the fastest growth of subjective uncertainty and new information embodied in the next-period distribution. Time evolution is modeled in terms of a Fredholm-type integral equation. A technique is suggested to recover the spectrum of an unknown second-order differential operator.

About the Author

V. Evstigneev
National Research University Higher School of Economics (Moscow, Russia)
Russian Federation


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Review

For citations:


Evstigneev V. Subjective Image of the Forthcoming - How FX Marketparticipants Construct Their prospects on the Nearest future. Voprosy Ekonomiki. 2014;(5):66-83. (In Russ.) https://doi.org/10.32609/0042-8736-2014-5-66-83

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ISSN 0042-8736 (Print)