Predictability of currency market exchange

DOI10.1016/S0378-4371(02)00561-7zbMath0995.91510arXivcond-mat/0107074MaRDI QIDQ1598560

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

Publication date: 23 May 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0107074

zbMATH Keywords

random walk modelconditional probability structurehigh frequency price movements

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (7)

Is the North Atlantic Oscillation just a pink noise? ⋮ Analysis of high-resolution foreign exchange data of USD-JPY for 13 years ⋮ A dynamical structure of high frequency currency exchange market ⋮ Towards a nonlinear trading strategy for financial time series ⋮ On possible origins of trends in financial market price changes ⋮ Rapid detection of the switching point in a financial market structure using the particle filter ⋮ A continuous time Bayesian network classifier for intraday FX prediction

Cites Work

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• A characteristic time scale in dollar-yen exchange rates

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