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

Takayuki Mizuno, Shoko Kurihara, Misako Takayasu and Hideki Takayasu

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 296-302

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 1min.

Keywords: Econophysics; Foreign exchange; Fat tail; Correlation (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:296-302

DOI: 10.1016/S0378-4371(02)01881-2

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