Analysis of high-resolution foreign exchange data of USD-JPY for 13 years

We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density analysis clearly shows the existence of trend-following movements at time scale of 8-ticks, about 1 minute.

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Year of publication:	2002-11
Authors:	Mizuno, Takayuki ; Kurihara, Shoko ; Takayasu, Misako ; Takayasu, Hideki
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005098503