Advanced Search
MyIDEAS: Login to save this article or follow this journal

Time and foreign exchange markets

Contents:

Author Info

  • Berardi, Luca
  • Serva, Maurizio
Registered author(s):

    Abstract

    The definition of time is still an open question when one deals with high-frequency time series. If time is simply the calendar time, prices can be modeled as continuous random processes and values resulting from transactions or given quotes are discrete samples of this underlying dynamics. On the contrary, if one takes the business time point of view, price dynamics is a discrete random process, and time is simply the ordering according to which prices are quoted in the market. In this paper, we suggest that the business time approach is perhaps a better way of modeling price dynamics than calendar time. This conclusion comes from testing probability densities and conditional variances predicted by the two models against the experimental ones. The data set we use contains the DEM/USD exchange quotes provided to us by Olsen & Associates during a period of one year from January to December 1998. In this period, 1,620,843 quotes entries in the EFX system were recorded.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/pii/S0378437105000889
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 353 (2005)
    Issue (Month): C ()
    Pages: 403-412

    as in new window
    Handle: RePEc:eee:phsmap:v:353:y:2005:i:c:p:403-412

    Contact details of provider:
    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

    Related research

    Keywords: Forex markets; Time; Lags; High frequency;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Tseng, Jie-Jun & Lin, Chih-Hao & Lin, Chih-Ting & Wang, Sun-Chong & Li, Sai-Ping, 2010. "Statistical properties of agent-based models in markets with continuous double auction mechanism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1699-1707.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:353:y:2005:i:c:p:403-412. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.