امور مالی بین المللی، توزیع لوی، و افتصاد فیزیکی نرخ مبادلات

This paper surveys the developments in the field of international finance, in particular the research of economists on foreign exchange rates. That might be of interest to physicists working on the econophysics of exchange rates. We show how the econophysics agenda might follow naturally from the economists' research. We also present our own work on the econophysics of exchange rates.

Economists working on the field of international finance traditionally felt uneasy with the ideas in modern finance theory, in particular with its notion of efficient markets. Instead, foreign exchange markets are widely believed to behave like the unstable and irrational asset markets described by Keynes [1]. The efficient markets assumption stands against the role of mass psychology. But that has been challenged recently by studies in behavioral finance. Since real returns are nearly unpredictable, the real price of stocks is believed by efficient market theorists to be close to their intrinsic value. However, behaviorists think that such a case for efficiency represents “one of the most remarkable errors in the history of economic thought” [2]. International finance has thus been in practice open economy macroeconomics. As it happens, macroeconomics seems to have failed as well to satisfactorily address exchange rate behavior, as this paper will show briefly. That circumstance makes international finance economists more prone to welcome the new ideas coming from physics. In so-called econophysics, the behavior of exchange rates and other financial assets are seen as complex. In complex systems with many interacting units, everything depends on everything else. Section 2 discusses the role of expectations in macroeconomics. Section 3 focuses on the failure of modeling attempts in the framework of open economy macroeconomics. Section 4 shortly presents the econophysics agenda. 5 and 6 introduce the Lévy distributions and show some algebra behind them. Section 7 displays our previous results on the econophysics of exchange rates. Section 8 shows our work on exchange rate multiscaling. And Section 9 concludes.

This paper is a survey of the work of economists in the field of exchange rates called inter- national finance. It is also a presentation of our own previous work on the econophysics of ex- change rates. That might be of interest to physicists working on the general subject of econophysics. Overall the paper is intended to show how the econophysics agenda might follow naturally from the economists research as far as international finance is concerned. Our own work on the subjectfocusesmainlyontheL evydistributionanditsapplicationstoexchangeratedata.Among other things, we present our suggested method to break the L evy tails and show the multiscaling properties of actual exchange rates in connection with our exponentially damped L evy flight.