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Volatility Dynamics Of Euro–Dollar Foreign Exchange Market


  • Jungseek Hwang

    (Pusan National University)

  • Sungkyun Park

    (Pusan National University)

  • Sang Hoon Kang

    (Gyeongsang National University)

  • Suyeol Ryu

    (Andong National University)

  • Seong-Min Yoon

    (Pusan National University)


This article assesses whether the continuous time random walk (CTRW) model is useful in explaining and predicting fluctuations in the financial market dynamics. In service of this objective, we formalize the CTRW model for a financial market, and estimate some salient exponents of the model using the tick-by-tick data of the Euro–Dollar foreign exchange rate. From some empirical results, we conclude that the CTRW model can be meaningfully applied to the description of an abnormal time evolution of high-frequency financial data. It also provides a framework of predictions of market dynamics.

Suggested Citation

  • Jungseek Hwang & Sungkyun Park & Sang Hoon Kang & Suyeol Ryu & Seong-Min Yoon, 2009. "Volatility Dynamics Of Euro–Dollar Foreign Exchange Market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 12(12(541)(s), pages 756-762, December.
  • Handle: RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:756-762

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