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 1min.

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Year of publication:	2003
Authors:	Mizuno, Takayuki ; Kurihara, Shoko ; Takayasu, Misako ; Takayasu, Hideki
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 324.2003, 1, p. 296-302
Publisher:	Elsevier
Subject:	Econophysics \| Foreign exchange \| Fat tail \| Correlation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010874673