Document Type
Article
Publication Date
1-1-2006
Abstract
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponent κ = 0.96 (one minute) and 0.86 (ten minutes), and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.
Recommended Citation
Kim, Kyungsik; Yoon, Seong-Min; Lee, C. Christopher; and Yum, Myung-Kul, "Dynamical Volatilities for Yen-Dollar Exchange Rates" (2006). All Faculty Scholarship for the College of the Sciences. 239.
https://digitalcommons.cwu.edu/cotsfac/239
Journal
Physica A: Statistical Mechanics and its Applications
Rights
© 2005 Elsevier B.V. All rights reserved
Comments
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This article was originally published in Physica A: Statistical Mechanics and its Applications. The full-text article from the publisher can be found here.