Analysis of high-resolution foreign exchange data of USD-JPY for 13 years

Takayuki Mizuno, Shoko Kurihara, Misako Takayasu and Hideki Takayasu

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Abstract: We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density analysis clearly shows the existence of trend-following movements at time scale of 8-ticks, about 1 minute.

Date: 2002-11
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