Dynamical Volatilities for Yen-Dollar Exchange Rates

Simple item page
dc.creatorKim, Kyungsik
dc.creatorYoon, Seong-Min
dc.creatorLee, C. Christopher
dc.creatorYum, Myung-Kul
dc.date2004-09-04
dc.date.accessioned2026-07-07T12:07:01Z
dc.date.available2026-07-07T12:07:01Z
dc.descriptionWe 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.
dc.description8 pages
dc.identifierhttps://arxiv.org/abs/cond-mat/0409097
dc.identifierhttp://arxiv.org/abs/cond-mat/0409097
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208828
dc.subjectOther Condensed Matter
dc.subjectStatistical Finance
dc.titleDynamical Volatilities for Yen-Dollar Exchange Rates
dc.typetext

Files

Collections

arXiv