Template-Type: ReDIF-Article 1.0
Author-Name: Vladimir R. Evstigneev
Author-Email:  incomes@inbox.ru 
Author-Workplace-Name: National Research University Higher School of Economics, Moscow 101000, Russia
Title: Modeling TradersХ Expectations in the FX Market in Terms of Distributions with a Functional Parameter
Abstract: The paper models a subjective probability density function ascribed to traders in the forex market. The density is obtained simultaneously with its local functional ЗcenterИ, i. e. the value that depends upon the variable and with regard to which central moments are evaluated. Both functions are obtained as solutions to one and the same variational problem. The solution is compatible with some crucial results in behavioral finance. Empirical results concerning the FX market forecasting are obtained and discussed.
Classification-JEL: G15, G17
Keywords: forex market, subjective expectations, behavioral finance, probability density function, calculus of variations 
Journal: Finansovyj žhurnal — Financial Journal
Pages: 25-34
Issue: 1
Year: 2014
Month: March
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2014/1/03_1_2014.pdf
File-Format: Application/pdf
Handle: RePEc:fru:finjrn:140103:p:25-34