paper

Predictability of Currency Market Exchange

arXiv:cond-mat/0107074 · doi:10.1016/S0378-4371(02)00561-7

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.

5 pages, 3 figures, 1 table (To appear in Physica A)

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