Abstract
Here we analyze tick data of yen–dollar exchange using random walk methods. We find that there exists a characteristic time scale approximately at 10 min. According to the results at time scales shorter than 10 min, the market exhibits anti-persistence meaning that it self-organizes so as to restore a given tendency. For time scales longer than 10 min the market approaches a behavior appropriate to pure Brownian motion.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Physica A: Statistical Mechanics and its Applications
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
