Predictability of Currency Market Exchange
Condensed Matter
2009-11-07 v2
Abstract
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to question one of the basic assumption of the traditional market theory, where such bias in high frequency price movements is regarded as not present. We also construct systematically a random walk model reflecting this probability structure.
Keywords
Cite
@article{arxiv.cond-mat/0107074,
title = {Predictability of Currency Market Exchange},
author = {Toru Ohira and Naoya Sazuka and Kouhei Marumo and Tokiko Shimizu and Misako Takayasu and Hideki Takayasu},
journal= {arXiv preprint arXiv:cond-mat/0107074},
year = {2009}
}
Comments
5 pages, 3 figures, 1 table (To appear in Physica A)