Probability Structures of Yen-Dollar Exchange
Abstract
We investigate high frequency data ("tick data") of yen-dollar exchange. When we focus only on its up and down movement, a clear conditional probability structre emerged. We propose an extended second order markovian random walk model to account for the structure. (Reference: cond-mat/0107074)
- Publication:
-
APS March Meeting Abstracts
- Pub Date:
- March 2002
- Bibcode:
- 2002APS..MARX27013O