Sazuka, Naoya - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 183-189
We analyze tick-by-tick data, the most high frequency data available, of yen–dollar exchange rates with focus on the …, apparently invisible from the price change itself, shown in binarized data extracting up or down price movement. The model … selected by AIC agrees well with empirical results. Additionally, the similar bias is obtained from binarized tick-by-tick data …