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Analysis of high-resolution foreign exchange data of USD-JPY for 13 years

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  • Takayuki Mizuno
  • Shoko Kurihara
  • Misako Takayasu
  • Hideki Takayasu

Abstract

We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density analysis clearly shows the existence of trend-following movements at time scale of 8-ticks, about 1 minute.

Suggested Citation

  • Takayuki Mizuno & Shoko Kurihara & Misako Takayasu & Hideki Takayasu, 2002. "Analysis of high-resolution foreign exchange data of USD-JPY for 13 years," Papers cond-mat/0211162, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0211162
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    1. 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.
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    Cited by:

    1. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.

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