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Stability of Markovian structure observed in high frequency foreign exchange data

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  • Mieko Tanaka-Yamawaki

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  • Mieko Tanaka-Yamawaki, 2003. "Stability of Markovian structure observed in high frequency foreign exchange data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(2), pages 437-446, June.
    • Handle: RePEc:spr:aistmt:v:55:y:2003:i:2:p:437-446
    DOI: 10.1007/BF02530510
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    References listed on IDEAS

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    1. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
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    Cited by:

    1. Rechenthin, Michael & Street, W. Nick, 2013. "Using conditional probability to identify trends in intra-day high-frequency equity pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6169-6188.

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