324 research outputs found
Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
We analyze high-resolution foreign exchange data consisting of 20 million
data points of USD-JPY for 13 years to report firm statistical laws in
distributions and correlations of exchange rate fluctuations. A conditional
probability density analysis clearly shows the existence of trend-following
movements at time scale of 8-ticks, about 1 minute.Comment: 6 pages, 7 figures, submitted to Physica
From turbulence to financial time series
We develop a framework especially suited to the autocorrelation properties
observed in financial times series, by borrowing from the physical picture of
turbulence. The success of our approach as applied to high frequency foreign
exchange data is demonstrated by the overlap of the curves in Figure (1), since
we are able to provide an analytical derivation of the relative sizes of the
quantities depicted. These quantities include departures from Gaussian
probability density functions and various two and three-point autocorrelation
functions.Comment: 10 pages, 1 figure, LaTeX, version to appear in Physica
Heterogeneous volatility cascade in financial markets
Using high frequency data, we have studied empirically the change of
volatility, also called volatility derivative, for various time horizons. In
particular, the correlation between the volatility derivative and the
volatility realized in the next time period is a measure of the response
function of the market participants. This correlation shows explicitly the
heterogeneous structure of the market according to the characteristic time
horizons of the differents agents. It reveals a volatility cascade from long to
short time horizons, with a structure different from the one observed in
turbulence. Moreover, we have developed a new ARCH-type model which
incorporates the different groups of agents, with their characteristic memory.
This model reproduces well the empirical response function, and allows us to
quantify the importance of each group.Comment: 10 pages, 2 figures, To be published in Physica
Wavelet Correlation Coefficient of 'strongly correlated' financial time series
In this paper we use wavelet concepts to show that correlation coefficient
between two financial data's is not constant but varies with scale from high
correlation value to strongly anti-correlation value This studies is important
because correlation coefficient is used to quantify degree of independence
between two variables. In econophysics correlation coefficient forms important
input to evolve hierarchial tree and minimum spanning tree of financial data.Comment: physica A (in press
Modelling High-frequency Economic Time Series
The minute-by-minute move of the Hang Seng Index (HSI) data over a four-year
period is analysed and shown to possess similar statistical features as those
of other markets. Based on a mathematical theorem [S. B. Pope and E. S. C.
Ching, Phys. Fluids A {\bf 5}, 1529 (1993)], we derive an analytic form for the
probability distribution function (PDF) of index moves from fitted functional
forms of certain conditional averages of the time series. Furthermore,
following a recent work by Stolovitzky and Ching, we show that the observed PDF
can be reproduced by a Langevin process with a move-dependent noise amplitude.
The form of the Langevin equation can be determined directly from the market
data.Comment: To appear in Proceedings of the Dynamics Days Asia Pacific
Conference, 13-16 July, 1999, Hong Kong (Physica A, 2000
Self-organization of value and demand
We study the dynamics of exchange value in a system composed of many
interacting agents. The simple model we propose exhibits cooperative emergence
and collapse of global value for individual goods. We demonstrate that the
demand that drives the value exhibits non Gaussian "fat tails" and typical
fluctuations which grow with time interval with a Hurst exponent of 0.7.Comment: RevTex, 4 pages, 3 figure
Market Efficiency in Foreign Exchange Markets
We investigate the relative market efficiency in financial market data, using
the approximate entropy(ApEn) method for a quantification of randomness in time
series. We used the global foreign exchange market indices for 17 countries
during two periods from 1984 to 1998 and from 1999 to 2004 in order to study
the efficiency of various foreign exchange markets around the market crisis. We
found that on average, the ApEn values for European and North American foreign
exchange markets are larger than those for African and Asian ones except Japan.
We also found that the ApEn for Asian markets increase significantly after the
Asian currency crisis. Our results suggest that the markets with a larger
liquidity such as European and North American foreign exchange markets have a
higher market efficiency than those with a smaller liquidity such as the
African and Asian ones except Japan
Medium and Small Scale Analysis of Financial Data
A stochastic analysis of financial data is presented. In particular we
investigate how the statistics of log returns change with different time delays
. The scale dependent behaviour of financial data can be divided into two
regions. The first time-range, the small-timescale region (in the range of
seconds) seems to be characterized by universal features. The second
time-range, the medium-timescale range from several minutes upwards and can be
characterized by a cascade process, which is given by a stochastic Markov
process in the scale . A corresponding Fokker-Planck equation can be
extracted from given data and provides a non equilibrium thermodynamical
description of the complexity of financial data.Comment: 4 pages, 5 figure
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