A dynamical structure of high frequency currency exchange market

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• 作者：Sazuka ; Naoya ; Ohira ; Toru ; Marumo ; Kouhei ; Shimizu ; Tokiko ; Takayasu ; Misako ; Takayasu ; Hideki
• 关键词：02.50.&minus ; 1 ; 05.90.+m ; High frequency data analysis ; Dynamical structure ; AR model ; Econophysics ; Currency exchange
• 刊名：Physica A
• 出版年：2003
• 出版时间：June 1, 2003
• 年：2003
• 卷：324
• 期：1-2
• 页码：366-371
• 全文大小：103 K

文摘

We analyze tick-by-tick data, the most high frequency data available, of yen–dollar currency exchange rates. We show that a dynamical structure can be observed in binarized data indicating the direction of up and down movement of prices, which is not apparently seen from the price change itself. This result is consistent with our previous study that there exists a conditional probabilistic structure in binarized data. The dynamical and probabilistic structure which we found could indicate that dealers’ decision making is based on a binary strategy, even if they are unconscious of this fact.