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physics.soc-ph2006★ 32 cited
On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market
Naoya Sazuka
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets d…
physics.soc-ph2005
Analysis of Binarized High Frequency Financial Data
Naoya Sazuka
A non-trivial probability structure is evident in the binary data extracted from the up/down price movements of very high frequency data such as tick-by-tick data for USD/JPY. In t…