Temporal characteristics of moving average of foreign exchange markets

Misako Takayasu, Takayuki Mizuno, Takaaki Ohnishi and Hideki Takayasu
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Misako Takayasu: Tokyo Institute of Technology
Takayuki Mizuno: Tokyo Institute of Technology
Takaaki Ohnishi: The University of Tokyo
Hideki Takayasu: Sony Computer Science Laboratories

A chapter in Practical Fruits of Econophysics, 2006, pp 29-32 from Springer

Abstract: Summary We firstly introduce an optimal moving average for Yen-Dollar tick data that makes the residual term to be an independent noise. This noise separation is realized for weight functions decaying nearly exponentially with characteristic time about 30 seconds. We further introduce another moving average applied to the optimal moving average in order to elucidate underlying force acting on the optimal moving average. It is found that for certain time scale we can actually estimate potential force that satisfies a simple scaling relation with respect to the time scale of moving average.

Keywords: Foreign exchange market; optimal moving average; potential force; scaling relation (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_4

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DOI: 10.1007/4-431-28915-1_4

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