Predictability of currency market exchange

Toru Ohira, Naoya Sazuka, Kouhei Marumo, Tokiko Shimizu, Misako Takayasu and Hideki Takayasu

Physica A: Statistical Mechanics and its Applications, 2002, vol. 308, issue 1, 368-374

Abstract: We analyze tick data of yen–dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to question one of the basic assumptions of the traditional market theory, where such bias in high frequency price movements is regarded as not present. We also construct systematically a random walk model reflecting this probability structure.

Keywords: Econophysics; Currency exchange; Probability; Random walk (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:308:y:2002:i:1:p:368-374

DOI: 10.1016/S0378-4371(02)00561-7

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