Ohira, Toru; Sazuka, Naoya; Marumo, Kouhei; Shimizu, Tokiko - In: Physica A: Statistical Mechanics and its Applications 308 (2002) 1, pp. 368-374
We analyze tick data of yen–dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to question one of the basic assumptions of the traditional...