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.
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页码：99 / 106
页数：8
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