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Timing matters in foreign exchange markets

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  • Hirata, Yoshito
  • Aihara, Kazuyuki

Abstract

We show using nonlinear time series analysis that the timing of trades in foreign exchange markets has significant information. We apply a set of methods for analyzing point process data developed in neuroscience and nonlinear science. Our results imply that foreign exchange markets might be chaotic and have short-term predictability.

Suggested Citation

  • Hirata, Yoshito & Aihara, Kazuyuki, 2012. "Timing matters in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 760-766.
    • Handle: RePEc:eee:phsmap:v:391:y:2012:i:3:p:760-766
    DOI: 10.1016/j.physa.2011.09.013
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    References listed on IDEAS

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    Cited by:

    1. Oya, Shunsuke & Aihara, Kazuyuki & Hirata, Yoshito, 2014. "An absolute measure for a key currency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 15-23.
    2. Alexeeva, Tatyana A. & Barnett, William A. & Kuznetsov, Nikolay V. & Mokaev, Timur N., 2020. "Dynamics of the Shapovalov mid-size firm model," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
    3. Nakano, Shuhei & Hirata, Yoshito & Iwayama, Koji & Aihara, Kazuyuki, 2015. "Intra-day response of foreign exchange markets after the Tohoku-Oki earthquake," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 203-214.
    4. Teresa Aparicio & Dulce Saura, 2013. "Do Exchange Rate Series Present General Dependence? Some Results using Recurrence Quantification Analysis," Journal of Economics and Behavioral Studies, AMH International, vol. 5(10), pages 678-686.
    5. Noriyoshi Sukegawa & Shohei Suzuki & Yoshiko Ikebe & Yoshito Hirata, 2024. "On Computing Medians of Marked Point Process Data Under Edit Distance," Journal of Optimization Theory and Applications, Springer, vol. 200(1), pages 178-193, January.

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