Dynamics of quote and deal prices in the foreign exchange market

被引：7

作者：

Ohnishi, Takaaki ^{[1
]}

Takayasu, Hideki ^{[2
]}

Ito, Takatoshi ^{[3
]}

Hashimoto, Yuko ^{[4
]}

Watanabe, Tsutomu ^{[5
]}

Takayasu, Misako ^{[6
]}

机构：

[1] Univ Tokyo, Grad Sch Law & Polit, Bunkyo Ku, Tokyo 1130033, Japan

[2] Sony Comp Sci Labs, Shinagawa Ku, Tokyo 1410022, Japan

[3] Univ Tokyo, Fac Econ, Bunkyo Ku, Tokyo 1130033, Japan

[4] Toyo Univ, Fac Econ, Bunkyo Ku, Tokyo 1128606, Japan

[5] Hitotsubashi Univ, Inst Econ Res, Kunitachi, Tokyo 1868603, Japan

[6] Tokyo Inst Technol, Dept Computat Intelligence & Syst Sci, Interdisciplinary Grad Sch Sci & Engn, Midori Ku, Yokohama, Kanagawa 2268502, Japan

来源：

JOURNAL OF ECONOMIC INTERACTION AND COORDINATION | 2008年 / 3卷 / 01期

关键词：

Econophysics; Foreign exchange market; Power-law distribution; Anomalous diffusion;

D O I：

10.1007/s11403-008-0033-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We empirically investigate price fluctuations of yen-dollar exchange rate using the high-frequency data recorded in the electronic broking system for seven-year period. The distribution of quote price changes has symmetric fat-tails approximated by a power law; however, that of deal price is asymmetrical. The autocorrelation function and diffusion of price changes indicate that quote price exhibits anti-correlation feature in short time scale, whereas deal price is essentially uncorrelated. The bid-ask spread shows power-law distribution and long range temporal correlations similar to that observed in absoute price changes.

引用

页码：99 / 106

页数：8

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