Back to Search
Start Over
Dynamics of quote and deal prices in the foreign exchange market.
- Source :
- Journal of Economic Interaction & Coordination; Jun2008, Vol. 3 Issue 1, p99-106, 8p
- Publication Year :
- 2008
-
Abstract
- We empirically investigate price fluctuations of yen-dollar exchange rate using the high-frequency data recorded in the electronic broking system for seven-year period. The distribution of quote price changes has symmetric fat-tails approximated by a power law; however, that of deal price is asymmetrical. The autocorrelation function and diffusion of price changes indicate that quote price exhibits anti-correlation feature in short time scale, whereas deal price is essentially uncorrelated. The bid-ask spread shows power-law distribution and long range temporal correlations similar to that observed in absoute price changes. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 1860711X
- Volume :
- 3
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Economic Interaction & Coordination
- Publication Type :
- Academic Journal
- Accession number :
- 49775468
- Full Text :
- https://doi.org/10.1007/s11403-008-0033-7