Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
Takayuki Mizuno, Shoko Kurihara, Misako Takayasu, Hideki Takayasu
TL;DR
This paper analyzes 13 years of high-resolution USD-JPY exchange data, revealing statistical laws and trend-following behaviors at minute-scale intervals through extensive data analysis.
Contribution
It provides the first detailed statistical analysis of high-frequency foreign exchange data over a long period, uncovering new insights into exchange rate dynamics.
Findings
Identification of firm statistical laws in distributions and correlations.
Detection of trend-following movements at 8-tick, approximately 1-minute, time scale.
Extensive dataset covering 20 million data points over 13 years.
Abstract
We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density analysis clearly shows the existence of trend-following movements at time scale of 8-ticks, about 1 minute.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Financial Markets and Investment Strategies · Monetary Policy and Economic Impact