Stability of Markovian structure observed in high frequency foreign exchange data

Annals of the Institute of Statistical Mathematics

Volumn 55, Issue 2, 2003, Pages 437-446

  Tanaka Yamawaki, Mieko ^a  

^a UNIVERSITY OF MIYAZAKI   (Japan)

Author keywords

Conditional probability; Foreign exchange rates; High frequency data in finance; Markovian structure; Memory length; Prediction; Tick data

Indexed keywords

MARKOV PROCESSES; PROBABILITY; TIME SERIES ANALYSIS;

CONDITIONAL PROBABILITY;

FINANCIAL DATA PROCESSING;

EID: 12444308268     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1026334221820     Document Type: Conference Paper

References (13)

1. Bachelier, L. (1900). Théorie de la speculation, Doctor Thesis, Annales Scientifiques de l'Ecole Normale Sperieure, III-17, 21-86 (Translation: Cootner, P. H. (ed) (1964). The Random character of stock market prices, 17-18, MIT Press, Cambridge, Massachusetts).
2. Bachelier, L. (1900). Théorie de la speculation, Doctor Thesis, Annales Scientifiques de l'Ecole Normale Sperieure, III-17, 21-86 (Translation: Cootner, P. H. (ed) (1964). The Random character of stock market prices, 17-18, MIT Press, Cambridge, Massachusetts).
3. CQG (2001). A set of tick data foreign currency exchange rates of Japanese Yen vs. U.S. Dollar, taken from CQG-terminal from 1995 to 2001 by H. Moriya. CQG is a chart-graphics distribution company (http://www.cqg.com/).
4. Fama, E. F. (1991). Efficient capital market II, Journal of Finance, 46, 1575-1617, and the references therein.
5. Ghashghaie, S., Breymann, W., Peinke, J., Talkner, P. and Dodge, Y. (1996). Turbulent cascades in foreign exchange markets, Nature, 381, 767-770.
6. HFDF (1993). A set of tick data from October 1, 1992 to September 30, 1993, obtained from Olsen & Associates at http://www.olsendata.com/
7. Mandelbrot, B. B. (1963). The variation of certain speculative prices, Journal of Business, 36, 394-419.
8. Mantegna, R. N. and Stanley, H. E. (1995). Scaling behavior in the dynamics of an economic index, Nature, 876, 46-49.
9. Moriya, H. (2002). Tick data filtering and cleaning, Talk given at the First ISM/GUAR Economics Meeting, Institute of Mathematical Statistics, July 18-19, 2002: http://www.cs.miyazaki-u.ac.jp/joho2/mieko/econo_e/ (to appear in SOKENDAI publication, 2003).
10. NYSE-TAQ (1993). A collection of tick data of all the trades and quotes of stock prices at the NYSE market since 1993, which are available from New York Stock Exchange at http://www.nyse.com/
11. Ohira, T. et al. (2002). Predictability of currency market exchange, Physica A, 308, 368-374.
12. Rabinier, L. and Huang, B.-H. (1993). Fundamentals of Speech Recognition, Prentice Hall; More general discussions on Markov Models are found, e.g., in Hideki Imai (1986). Information Theory, Shokodo, Tokyo.
13. Tanaka-Yamawaki, M. (1999). Human generated random numbers and a model of the human brain functions, Proceedings of 1999 IEEE International Conference on Systems, Man, & Cybernetics, III, 223-228.