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Jungseek Hwang, Sungkyun Park, Sang Hoon Kang, Suyeol Ryu and Seong-Min Yoon ()
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Jungseek Hwang: Pusan National University
Sungkyun Park: Pusan National University
Sang Hoon Kang: Gyeongsang National University
Suyeol Ryu: Andong National University

Theoretical and Applied Economics, 2009, vol. 12(541)(supplement), issue 12(541)(supplement), 756-762

Abstract: This article assesses whether the continuous time random walk (CTRW) model is useful in explaining and predicting fluctuations in the financial market dynamics. In service of this objective, we formalize the CTRW model for a financial market, and estimate some salient exponents of the model using the tick-by-tick data of the Euro–Dollar foreign exchange rate. From some empirical results, we conclude that the CTRW model can be meaningfully applied to the description of an abnormal time evolution of high-frequency financial data. It also provides a framework of predictions of market dynamics.

Keywords: continuous time random walk model; euro–dollar foreign exchange rate; high-frequency data; power law; complex system. (search for similar items in EconPapers)
Date: 2009
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Handle: RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:756-762