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Temporal characteristics of moving average of foreign exchange markets

In: Practical Fruits of Econophysics

Author

Listed:
  • Misako Takayasu

    (Tokyo Institute of Technology)

  • Takayuki Mizuno

    (Tokyo Institute of Technology)

  • Takaaki Ohnishi

    (The University of Tokyo)

  • Hideki Takayasu

    (Sony Computer Science Laboratories)

Abstract

Summary We firstly introduce an optimal moving average for Yen-Dollar tick data that makes the residual term to be an independent noise. This noise separation is realized for weight functions decaying nearly exponentially with characteristic time about 30 seconds. We further introduce another moving average applied to the optimal moving average in order to elucidate underlying force acting on the optimal moving average. It is found that for certain time scale we can actually estimate potential force that satisfies a simple scaling relation with respect to the time scale of moving average.

Suggested Citation

  • Misako Takayasu & Takayuki Mizuno & Takaaki Ohnishi & Hideki Takayasu, 2006. "Temporal characteristics of moving average of foreign exchange markets," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 29-32, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_4
    DOI: 10.1007/4-431-28915-1_4
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    Cited by:

    1. 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.

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