# Diffusive and arrested-like dynamics in currency exchange markets

## TL;DR

This paper reveals a striking analogy between the fluctuation dynamics of the EURUSD currency market and colloidal particles in supercooled states, demonstrating that models from arrested physical systems can describe currency fluctuations.

## Contribution

It introduces a novel analogy between financial market dynamics and physical systems, applying models of arrested states to describe currency exchange fluctuations.

## Key findings

- EURUSD fluctuations resemble colloidal arrested states
- Two-step mean squared price displacement observed during market closures
- Models of arrested physical systems fit currency fluctuation data well

## Abstract

This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in supercooled or arrested states. In particular, we find that models used for arrested physical systems are suitable for describing the EURUSD fluctuation distributions. Whereas the corresponding mean squared price displacement (MSPD) to the EURUSD is diffusive for all years, when focusing in selected time frames within a day, we find a two-step MSPD when the New York Stock Exchange market closes, comparable to the dynamics in supercooled systems. This is corroborated by looking at the price correlation functions and non-Gaussian parameters, and can be described by the theoretical model. We discuss the origin and implications of this analogy.