How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market

It is shown that price changes of the U.S. dollar--German mark exchange rates upon different delay times can be regarded as a stochastic Marcovian process. Furthermore, we show how Kramers-Moyal coefficients can be estimated from the empirical data. Finally, we present an explicit Fokker-Planck equation which models very precisely the empirical probability distributions, in particular, their non-Gaussian heavy tails.