Time-scale dependence of correlations among foreign currencies

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dc.creatorMizuno, Takayuki
dc.creatorKurihara, Shoko
dc.creatorTakayasu, Misako
dc.creatorTakayasu, Hideki
dc.date2003-03-17
dc.date.accessioned2026-07-07T12:06:46Z
dc.date.available2026-07-07T12:06:46Z
dc.descriptionFor the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there is a time delay of order less than a minute between two currency markets having a strong cross-correlation. The cross-correlation between exchange rates is lower in shorter time scale in any case. As a corollary we notice a kind of contradiction that the direct Yen-Dollar rate significantly differs from the indirect Yen-Dollar rate through Euro in short time scales. This result shows the existence of arbitrage opportunity among currency exchange markets.
dc.description6 pages, 5 figures, 1 table
dc.identifierhttps://arxiv.org/abs/cond-mat/0303306
dc.identifierhttp://arxiv.org/abs/cond-mat/0303306
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208751
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleTime-scale dependence of correlations among foreign currencies
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