Dynamical volatilities for yen–dollar exchange rates
Seong-Min Yoon (),
C. Christopher Lee,
Myung-Kul Yum and
Physica A: Statistical Mechanics and its Applications, 2006, vol. 359, issue C, 569-575
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)
References: View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
Working Paper: Dynamical Volatilities for Yen-Dollar Exchange Rates (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:359:y:2006:i:c:p:569-575
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().