Statistical properties of the moving average price in dollar–yen exchange rates

Takaaki Ohnishi, Takayuki Mizuno, Kazuyuki Aihara, Misako Takayasu and Hideki Takayasu

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 207-210

Abstract: We introduce a weighted-moving-average analysis for the tick-by-tick data of yen–dollar exchange rates. The weights are determined automatically for given data by applying the Yule–Walker formula for autoregressive model. Although the data are non-stationary, the resulting moving average gives a quite nice property that the deviation around the moving-average becomes a white noise. The weights decay exponentially with time scale less than 2 min implying that dealers are watching only very recent market state.

Keywords: Foreign exchange; Moving-average; Yule–Walker formula; White noise (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:207-210

DOI: 10.1016/j.physa.2004.06.118

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