Predictability of currency market exchange

被引：39

作者：

Ohira, T

Sazuka, N

Marumo, K

Shimizu, T

Takayasu, M

Takayasu, H

机构：

[1] Sony Corp, Comp Sci Labs, Tokyo 1410022, Japan

[2] Tokyo Inst Technol, Dept Computat Intelligence & Syst Sci, Yokohama, Kanagawa 2268502, Japan

[3] Bank Japan, Inst Monetary & Econ Studies, Chuo Ku, Tokyo 1038660, Japan

[4] Bank Japan, Financial Markets Dept, Chuo Ku, Tokyo 1038660, Japan

[5] Future Univ Hakodate, Hakodate, Hokkaido 0418655, Japan

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2002年 / 308卷 / 1-4期

关键词：

econophysics; currency exchange; probability; random walk;

D O I：

10.1016/S0378-4371(02)00561-7

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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 market theory, where such bias in high frequency price movements is regarded as not present. We also construct systematically a random walk model reflecting this probability structure. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：368 / 374

页数：7

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