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Dynamical volatilities for yen–dollar exchange rates

Seong-Min Yoon (), J.S. Choi, C. Christopher Lee, Myung-Kul Yum and Kyungsik Kim

Physica A: Statistical Mechanics and its Applications, 2006, vol. 359, issue C, 569-575

Abstract: We study the continuous time random walk theory from financial tick data of the yen–dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponents κ=0.92 (1min) and 0.78 (10min) and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.

Keywords: Continuous time random walk; Returns; Volatility; Scaling exponent (search for similar items in EconPapers)
Date: 2006
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