A dynamical structure of high frequency currency exchange market

Physica A: Statistical Mechanics and its Applications

Volumn 324, Issue 1-2, 2003, Pages 366-371

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

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

^b SONY COMPUTER SCIENCE LABORATORIES INC   (Japan)

^c Inst for Monetary Economic Studies   (Japan)

^d BANK OF JAPAN   (Japan)

^e FUTURE UNIVERSITY HAKODATE   (Japan)

Author keywords

AR model; Currency exchange; Dynamical structure; Econophysics; High frequency data analysis

Indexed keywords

DECISION MAKING; MARKETING; PROBABILITY;

ECONOPHYSICS;

DATA REDUCTION;

EID: 0038237594     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01958-1     Document Type: Conference Paper

References (5)

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3. Takayasu M., Takayasu H., Okazaki M. Transaction interval analysis of high resolution foreign exchange data. Takayasu H. Empirical Science of Financial Fluctuations: The Advent of Econophysics. 2002;18-25 Springer, Tokyo.
4. N. Sazuka, T. Ohira, K. Marumo, T. Shimizu, M. Takayasu, H. Takayasu, to appear in the Proceeding of the Second NIkkei Econophysics Research Workshop and Symposium, Springer-Verlag (2003).
5. Zhang Y. Toward a theory of marginally efficient markets. Physica A. 269:1999;30-44.