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Statistical properties of the moving average price in dollar–yen exchange rates

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  • Ohnishi, Takaaki
  • Mizuno, Takayuki
  • Aihara, Kazuyuki
  • Takayasu, Misako
  • Takayasu, Hideki

Abstract

We introduce a weighted-moving-average analysis for the tick-by-tick data of yen–dollar exchange rates. The weights are determined automatically for given data by applying the Yule–Walker formula for autoregressive model. Although the data are non-stationary, the resulting moving average gives a quite nice property that the deviation around the moving-average becomes a white noise. The weights decay exponentially with time scale less than 2 min implying that dealers are watching only very recent market state.

Suggested Citation

  • Ohnishi, Takaaki & Mizuno, Takayuki & Aihara, Kazuyuki & Takayasu, Misako & Takayasu, Hideki, 2004. "Statistical properties of the moving average price in dollar–yen exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 207-210.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:207-210
    DOI: 10.1016/j.physa.2004.06.118
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    References listed on IDEAS

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    1. Takayasu, Misako & Takayasu, Hideki, 2003. "Self-modulation processes and resulting generic 1/f fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 101-107.
    2. H. Takayasu & M. Takayasu & M. P. Okazaki & K. Marumo & T. Shimizu, 2000. "Fractal Properties in Economics," Papers cond-mat/0008057, arXiv.org, revised Aug 2000.
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    Cited by:

    1. Papailias, Fotis & Thomakos, Dimitrios D., 2015. "An improved moving average technical trading rule," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 458-469.
    2. Aki-Hiro Sato & Takaki Hayashi & Janusz Hołyst, 2012. "Comprehensive analysis of market conditions in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 167-179, October.
    3. Sato, Aki-Hiro, 2007. "Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 258-270.
    4. Ted Theodosopoulos & Alex Trifunovic, 2006. "Hybrid dynamics for currency modeling," Papers math/0605457, arXiv.org.
    5. Mizuno, Takayuki & Takayasu, Hideki & Takayasu, Misako, 2007. "Analysis of price diffusion in financial markets using PUCK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 187-192.
    6. Takaaki Ohnishi & Hideki Takayasu & Takatoshi Ito & Yuko Hashimoto & Tsutomu Watanabe & Misako Takayasu, 2008. "Dynamics of quote and deal prices in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 99-106, June.

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