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.
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.
Physica A: Statistical Mechanics and its Applications
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