Dynamics of quote and deal prices in the foreign exchange market
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Volume (Year): 3 (2008)
Issue (Month): 1 (June)
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cond-mat/0307332, arXiv.org, revised Aug 2003.
- 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.
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- 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.
- 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.
- Fabrizio Lillo & J. Doyne Farmer, 2003.
"The long memory of the efficient market,"
cond-mat/0311053, arXiv.org, revised Jul 2004.
- 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.
- 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;EDP Sciences, vol. 41(2), pages 255-258, 09.
- 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.
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