Dynamical Volatilities for Yen-Dollar Exchange Rates

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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 k = 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.
8 pages

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Other Condensed Matter, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208828

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0409097
 http://arxiv.org/abs/cond-mat/0409097

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arXiv