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

共 50 条

[41] Comprehensive analysis of market conditions in the foreign exchange market
Sato, Aki-Hiro
Hayashi, Takaki
Holyst, Janusz A.
JOURNAL OF ECONOMIC INTERACTION AND COORDINATION, 2012, 7 (02) : 167 - 179
[42] Foreign exchange market inefficiency and exchange rate anomalies
Li, Jing
Miller, Norman C.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2015, 34 : 311 - 320
[43] The Japanese foreign exchange market.
Cargill, TF
ECONOMIC JOURNAL, 1999, 109 (456): : F491 - F493
[44] Games in a foreign exchange market and solutions
Habibi, Reza
FINANCIAL INTERNET QUARTERLY, 2023, 19 (03) : 75 - 86
[45] Cointegration analysis of exchange rate in foreign exchange market
Wang Jian
Wang Shu-li
Proceeding of the 2006 International Conference on Management of Logistics and Supply Chain, 2006, : 595 - 599
[46] Regulations on Foreign Exchange Adjustment Market
China's Foreign Trade, 1994, (06) : 21 - 21
[47] THE SCOPE FOR FOREIGN EXCHANGE MARKET INTERVENTIONS
Bofinger, Peter
JOURNAL OF INTERNATIONAL COMMERCE ECONOMICS AND POLICY, 2012, 3 (03)
[48] THE INTERNATIONAL FOREIGN-EXCHANGE MARKET
不详
STAHL UND EISEN, 1987, 107 (06): : 81 - 82
[49] THE OPTIMUM FOREIGN-EXCHANGE MARKET
STEIN, JL
AMERICAN ECONOMIC REVIEW, 1963, 53 (03): : 384 - 402
[50] Expectation errors in the foreign exchange market
Ferreira, Alex
Moore, Michael
Mukherjee, Satrajit
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2019, 95 : 44 - 51

← 1 2 3 4 5 →