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Dynamics of quote and deal prices in the foreign exchange market

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Author Info

  • Takaaki Ohnishi

    ()

  • Hideki Takayasu
  • Takatoshi Ito
  • Yuko Hashimoto
  • Tsutomu Watanabe
  • Misako Takayasu

Abstract

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s11403-008-0033-7
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Bibliographic Info

Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

Volume (Year): 3 (2008)
Issue (Month): 1 (June)
Pages: 99-106

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Handle: RePEc:spr:jeicoo:v:3:y:2008:i:1:p:99-106

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Web page: http://www.springer.com/economics/economic+theory/journal/11403

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Related research

Keywords: Econophysics; Foreign exchange market; Power-law distribution; Anomalous diffusion; C10; C16; D40; G10;

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References

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  1. Lillo Fabrizio & Farmer J. Doyne, 2004. "The Long Memory of the Efficient Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(3), pages 1-35, September.
  2. M. Goldstein & S. Morris & G. Yen, 2004. "Problems with fitting to the power-law distribution," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 41(2), pages 255-258, 09.
  3. Mizuno, Takayuki & Kurihara, Shoko & Takayasu, Misako & Takayasu, Hideki, 2003. "Analysis of high-resolution foreign exchange data of USD-JPY for 13 years," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 296-302.
  4. Ohnishi, Takaaki & Mizuno, Takayuki & Aihara, Kazuyuki & Takayasu, Misako & Takayasu, Hideki, 2004. "Statistical properties of the moving average price in dollar–yen exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 207-210.
  5. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.
  6. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2004. "Fluctuations and response in financial markets: the subtle nature of 'random' price changes," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 176-190.
  7. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
  8. Takatoshi Ito & Yuko Hashimoto, 2004. "Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System," NBER Working Papers 10856, National Bureau of Economic Research, Inc.
  9. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Tsuruhiko Nambu & Takaaki Ohnishi, 2010. "The dynamics and distribution of the area price in the Nord Pool," Journal of Economic Interaction and Coordination, Springer, vol. 5(2), pages 181-189, December.

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