A dynamical structure of high frequency currency exchange market

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

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 366-371

Abstract: We analyze tick-by-tick data, the most high frequency data available, of yen–dollar currency exchange rates. We show that a dynamical structure can be observed in binarized data indicating the direction of up and down movement of prices, which is not apparently seen from the price change itself. This result is consistent with our previous study that there exists a conditional probabilistic structure in binarized data. The dynamical and probabilistic structure which we found could indicate that dealers’ decision making is based on a binary strategy, even if they are unconscious of this fact.

Keywords: High frequency data analysis; Dynamical structure; AR model; Econophysics; Currency exchange (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:366-371

DOI: 10.1016/S0378-4371(02)01958-1

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