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A dynamical structure of high frequency currency exchange market

Author

Listed:
  • Sazuka, Naoya
  • Ohira, Toru
  • Marumo, Kouhei
  • Shimizu, Tokiko
  • Takayasu, Misako
  • Takayasu, Hideki

Abstract

We analyze tick-by-tick data, the most high frequency data available, of yen–dollar currency exchange rates. We show that a dynamical structure can be observed in binarized data indicating the direction of up and down movement of prices, which is not apparently seen from the price change itself. This result is consistent with our previous study that there exists a conditional probabilistic structure in binarized data. The dynamical and probabilistic structure which we found could indicate that dealers’ decision making is based on a binary strategy, even if they are unconscious of this fact.

Suggested Citation

  • Sazuka, Naoya & Ohira, Toru & Marumo, Kouhei & Shimizu, Tokiko & Takayasu, Misako & Takayasu, Hideki, 2003. "A dynamical structure of high frequency currency exchange market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 366-371.
    • Handle: RePEc:eee:phsmap:v:324:y:2003:i:1:p:366-371
    DOI: 10.1016/S0378-4371(02)01958-1
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    References listed on IDEAS

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    1. Yi-Cheng Zhang, 1999. "Toward a Theory of Marginally Efficient Markets," Papers cond-mat/9901243, arXiv.org.
    2. Ohira, Toru & Sazuka, Naoya & Marumo, Kouhei & Shimizu, Tokiko & Takayasu, Misako & Takayasu, Hideki, 2002. "Predictability of currency market exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 368-374.
    3. Zhang, Yi-Cheng, 1999. "Toward a theory of marginally efficient markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 30-44.
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    Cited by:

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    2. Aiba, Yukihiro & Hatano, Naomichi, 2004. "Triangular arbitrage in the foreign exchange market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 174-177.

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