Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
Statistical Mechanics
2016-08-31 v1 Statistical Finance
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.
Keywords
Cite
@article{arxiv.cond-mat/0211162,
title = {Analysis of high-resolution foreign exchange data of USD-JPY for 13 years},
author = {Takayuki Mizuno and Shoko Kurihara and Misako Takayasu and Hideki Takayasu},
journal= {arXiv preprint arXiv:cond-mat/0211162},
year = {2016}
}
Comments
6 pages, 7 figures, submitted to Physica A