Research Article
Analysis of Exchange Rates as Time-Inhomogeneous Markov Chain with Finite States
Table 1
One-step transition frequencies and estimated transition probabilities.
| Year | USD | Pound | Euro | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | 56 (0.5657) | 43 (0.4343) | 42 (0.2819) | 107 (0.7181) | 52 (0.4643) | 60 (0.5357) | 59 (0.4338) | 77 (0.5662) | 55 (0.4955) | 56 (0.5045) | 56 (0.4088) | 81 (0.5912) | 2013 | 29 (0.3295) | 59 (0.6705) | 69 (0.4631) | 80 (0.5369) | 56 (0.4746) | 62 (0.5254) | 61 (0.4729) | 29 (0.5271) | 37 (0.3426) | 71 (0.6574) | 70 (0.5036) | 69 (0.4964) | 2014 | 81 (0.7043) | 34 (0.2957) | 34 (0.2595 | 97 (0.7405) | 44 (0.4231) | 60 (0.5769) | 59 (0.4155) | 83 (0.5845) | 52 (0.4771) | 57 (0.5229) | 57 (0.4161) | 80 (0.5839) | 2015 | 30 (0.3797) | 49 (0.6203) | 50 (0.2674) | 137 (0.7326) | 61 (0.5304) | 54 (0.4696) | 53 (0.3510) | 98 (0.6490) | 54 (0.4655) | 62 (0.5345) | 61 (0.4067) | 89 (0.5933) | 2016 | 35 (0.4930) | 36 (0.5070) | 36 (0.2323) | 119 (0.7677) | 68 (0.5714) | 51 (0.4286) | 51 (0.4766) | 56 (0.5234) | 46 (0.4466) | 57 (0.5534) | 57 (0.4634) | 66 (0.5366) | 2017 | 52 (0.5909) | 36 (0.4091) | 36 (0.2293) | 121 (0.7707) | 48 (0.4486) | 59 (0.5514) | 59 (0.4275) | 79 (0.5725) | 55 (0.4955) | 56 (0.5045) | 56 (0.4179) | 78 (0.5821) | All | 283 (0.5241) | 257 (0.4759) | 267 (0.2877) | 661 (0.7123) | 329 (0.4874) | 346 (0.5126) | 342 (0.4259) | 461 (0.5741) | 299 (0.4544 | 359 (0.5456) | 357 (0.4354) | 463 (0.5646) |
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