Abstract
The exchange rate formation process is represented as the sum of a low-frequency deterministic trend and a high-frequency stationary random component for which the covariance function, the spectral density, and the increment correlation function are obtained. Theoretical results are in good agreement with the results of processing of observed data. The model explains the occurrence of Elliott waves on exchange rate paths and generates a parametric family of random processes with spectral characteristics ranging from white noise to a first-order autoregression process.
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