Dynamical Volatilities for Yen-Dollar Exchange Rates
Other Condensed Matter
2008-12-02 v1 Statistical Finance
Abstract
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponent k = 0.96 (one minute) and 0.86 (ten minutes), and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.
Keywords
Cite
@article{arxiv.cond-mat/0409097,
title = {Dynamical Volatilities for Yen-Dollar Exchange Rates},
author = {Kyungsik Kim and Seong-Min Yoon and C. Christopher Lee and Myung-Kul Yum},
journal= {arXiv preprint arXiv:cond-mat/0409097},
year = {2008}
}
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8 pages