Predictability of currency market exchange

Physica A: Statistical Mechanics and its Applications

Volumn 308, Issue 1-4, 2002, Pages 368-374

  Ohira, Toru ^a   Sazuka, Naoya ^b   Marumo, Kouhei ^c   Shimizu, Tokiko ^d   Takayasu, Misako ^e   Takayasu, Hideki ^a  

^a SONY COMPUTER SCIENCE LABORATORIES INC   (Japan)

^b TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

^c Inst for Monetary Economic Studies   (Japan)

^d BANK OF JAPAN   (Japan)

^e FUTURE UNIVERSITY HAKODATE   (Japan)

Author keywords

Currency exchange; Econophysics; Probability; Random walk

Indexed keywords

MARKETING; MATHEMATICAL MODELS; PROBABILITY; RANDOM PROCESSES;

MARKET DYNAMICS; RANDOM WALK MODEL;

ECONOMICS;

EID: 0037093040     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)00561-7     Document Type: Article

References (9)

1. Toward a theory of marginally efficient markets
2. Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation
3. A characteristic time scale in dollar yen exchange rates
4. From market games to real-world markets
5. Fractal properties in economics
6. The taming of the skew
7. Resonance with noise and delay
8. Delayed stochastic systems