Summary
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.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Podbnik B, Ivanov PC, Lee Y, Chessa A, Stanley HE (2000) Systems with correlations in the variance: generating power-law tails in the probability density. Europhysics Lett 50:711–717.
Triantafyllou GN, Picard R, Tsonis AA (1994) Exploiting geometric signatures to accurately derive properties of attractors. Appl Math Lett 7:19–24.
Tsonis AA, Heller F, Takayasu H, Maruno K, Shimizu T (2001): A characteristic time scale in dollar-yen exchange rates. Physica A 291:574–582.
Vandewalle N, Ausloos M (1998) Extended detrended fluctuation analysis for financial data. Int J Compu Anticipat Syst 1:343–349.
Viswanathan GM, Afanasyev V, Buldyrev SV, Murphy EV, Prince PA, Stanley HE (1996) Levy flight search patterns of wandering albatrosses. Nature 381:413–415.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2006 Springer-Verlag Tokyo
About this paper
Cite this paper
Tsonis, A.A., Nakada, K., Takayasu, H. (2006). Dynamics and predictability of fluctuations in dollar-yen exchange rates. In: Takayasu, H. (eds) Practical Fruits of Econophysics. Springer, Tokyo. https://doi.org/10.1007/4-431-28915-1_3
Download citation
DOI: https://doi.org/10.1007/4-431-28915-1_3
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-28914-2
Online ISBN: 978-4-431-28915-9
eBook Packages: Business and EconomicsEconomics and Finance (R0)