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A characteristic time scale in dollar–yen exchange rates

Author

Listed:
  • Tsonis, A.A.
  • Heller, F.
  • Takayasu, H.
  • Marumo, K.
  • Shimizu, T.

Abstract

Here we analyze tick data of yen–dollar exchange using random walk methods. We find that there exists a characteristic time scale approximately at 10 min. According to the results at time scales shorter than 10 min, the market exhibits anti-persistence meaning that it self-organizes so as to restore a given tendency. For time scales longer than 10 min the market approaches a behavior appropriate to pure Brownian motion.

Suggested Citation

  • Tsonis, A.A. & Heller, F. & Takayasu, H. & Marumo, K. & Shimizu, T., 2001. "A characteristic time scale in dollar–yen exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 291(1), pages 574-582.
    • Handle: RePEc:eee:phsmap:v:291:y:2001:i:1:p:574-582
    DOI: 10.1016/S0378-4371(00)00607-5
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    References listed on IDEAS

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    1. Boris Podobnik & Plamen Ch. Ivanov & Youngki Lee & Alessandro Chessa & H. Eugene Stanley, 1999. "Systems with Correlations in the Variance: Generating Power-Law Tails in Probability Distributions," Papers cond-mat/9910433, arXiv.org, revised May 2000.
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    Cited by:

    1. Alvarez-Ramirez, Jose, 2002. "Characteristic time scales in the American dollar–Mexican peso exchange currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 309(1), pages 157-170.
    2. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
    3. Mizuno, Takayuki & Kurihara, Shoko & Takayasu, Misako & Takayasu, Hideki, 2003. "Analysis of high-resolution foreign exchange data of USD-JPY for 13 years," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 296-302.
    4. Ohira, Toru & Sazuka, Naoya & Marumo, Kouhei & Shimizu, Tokiko & Takayasu, Misako & Takayasu, Hideki, 2002. "Predictability of currency market exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 368-374.
    5. Nakamura, Tomomichi & Small, Michael, 2006. "Testing for dynamics in the irregular fluctuations of financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 377-386.
    6. Scarlat, E.I. & Stan, Cristina & Cristescu, C.P., 2007. "Chaotic features in Romanian transition economy as reflected onto the currency exchange rate," Chaos, Solitons & Fractals, Elsevier, vol. 33(2), pages 396-404.

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