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Dynamics of quote and deal prices in the foreign exchange market |
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| Authors: | Takaaki Ohnishi Hideki Takayasu Takatoshi Ito Yuko Hashimoto Tsutomu Watanabe Misako Takayasu |
| Affiliation: | (1) Graduate School of Law and Politics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo 113-0033, Japan;(2) Sony Computer Science Laboratories, 3-14-13 Higashigotanda, Shinagawa-ku, Tokyo 141-0022, Japan;(3) Faculty of Economics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo 113-0033, Japan;(4) Faculty of Economics, Toyo University, 5-28-20 Hakusan, Bunkyo-ku, Tokyo 112-8606, Japan;(5) Institute of Economic Research, Hitotsubashi University, 2-1 Naka, Kunitachi-city, Tokyo 186-8603, Japan;(6) Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259-G3-52 Nagatsuta-cho, Midori-ku, Yokohama 226-8502, Japan |
| Abstract: | 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. |
| Keywords: | Econophysics Foreign exchange market Power-law distribution Anomalous diffusion |
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