Dynamical Volatilities for Yen-Dollar Exchange Rates

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...

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Bibliographic Details
Main Authors Kim, Kyungsik, Yoon, Seong-Min, Lee, C. Christopher, Yum, Myung-Kul
Format Journal Article
LanguageEnglish
Published 04.09.2004
Subjects
Physics - Other Condensed Matter
Quantitative Finance - Statistical Finance
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Summary: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.
DOI:10.48550/arxiv.cond-mat/0409097