A dynamical structure of high frequency currency exchange market

被引：14

作者：

Sazuka, N ^{[1
]}

Ohira, T

Marumo, K

Shimizu, T

Takayasu, M

Takayasu, H

机构：

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

[2] Sony Comp Sci Labs, Tokyo 1410022, Japan

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

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

[5] Bank Japan, Financial Markets Dept, Tokyo 1038660, Japan

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2003年 / 324卷 / 1-2期

关键词：

high frequency data analysis; dynamical structure; AR model; econophysics; currency exchange;

D O I：

10.1016/S0378-4371(02)01958-1

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We analyze tick-by-tick data, the most high frequency data available, of yen-dollar currency exchange rates. We show that a dynamical structure can be observed in binarized data indicating the direction of up and down movement of prices, which is not apparently seen from the price change itself. This result is consistent with our previous study that there exists a conditional probabilistic structure in binarized data. The dynamical and probabilistic structure which we found could indicate that dealers' decision making is based on a binary strategy, even if they are unconscious of this fact. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

页码：366 / 371

页数：6

共 5 条

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Ohira, T
Sazuka, N
Marumo, K
Shimizu, T
Takayasu, M
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