Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
arXiv:cond-mat/0211162 · doi:10.1016/S0378-4371(02)01881-2
Abstract
We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density analysis clearly shows the existence of trend-following movements at time scale of 8-ticks, about 1 minute.
6 pages, 7 figures, submitted to Physica A
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