Dynamics and predictability of fluctuations in dollar-yen exchange rates

A. A. Tsonis, K. Nakada and H. Takayasu
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A. A. Tsonis: University of Wisconsin-Milwaukee
K. Nakada: University of Wisconsin-Milwaukee
H. Takayasu: Sony Computer Science Laboratories Inc.

A chapter in Practical Fruits of Econophysics, 2006, pp 24-28 from Springer

Abstract: Summary Analysis of tick data of yen-dollar exchange using random walk methods has showed that there exists a characteristic time scale approximately at 10 minutes. Accordingly, for time scales shorter than 10 minutes the market exhibits anti-persistence, meaning that it self-organizes so that to restore a given tendency. For time scales longer than 10 minutes the market approaches a behavior appropriate to pure Brownian motion. This property is explored here to elucidate the predictability of this type of data. We find that improvement in predictability is possible provided that the data are not “contaminated” with noise.

Keywords: Econophysics; Fractals; Anti-Pesristence; Brownian Motions (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_3

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DOI: 10.1007/4-431-28915-1_3

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