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Dynamics and predictability of fluctuations in dollar-yen exchange rates
| Content Provider | Semantic Scholar |
|---|---|
| Author | Tsonis, Anastasios A. Nakada, Kosuke Takayasu, Hideki |
| Copyright Year | 2006 |
| Abstract | Analysis of tick data of yen-dollar exchange using random walk methods has showed that there exists a characteristic time scale approximately at 10 minutes. Accordingly, for time scales shorter than 10 minutes the market exhibits anti-persistence, meaning that it self-organizes so that to restore a given tendency. For time scales longer than 10 minutes the market approaches a behavior appropriate to pure Brownian motion. This property is explored here to elucidate the predictability of this type of data. We find that improvement in predictability is possible provided that the data are not “contaminated” with noise. |
| Starting Page | 24 |
| Ending Page | 28 |
| Page Count | 5 |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/4-431-28915-1_3 |
| Alternate Webpage(s) | https://page-one.springer.com/pdf/preview/10.1007/4-431-28915-1_3 |
| Alternate Webpage(s) | https://doi.org/10.1007/4-431-28915-1_3 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
