Statistical properties of the moving average price in dollar-yen exchange rates

被引：22
|
作者：
Ohnishi, T
Mizuno, T
Aihara, K
Takayasu, M
Takayasu, H
机构：
[1] Univ Tokyo, Grad Sch Frontier Sci, Dept Complex Sci & Engn, Bunkyo Ku, Tokyo 1138656, Japan
[2] Chuo Univ, Fac Sci & Engn, Dept Phys, Bunkyo Ku, Tokyo 1128551, Japan
[3] Future Univ Hakodate, Dept Complex Syst, Hakodate, Hokkaido 0410803, Japan
[4] Sony Comp Sci Labs Inc, Shinagawa Ku, Tokyo 1410022, Japan
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 344卷 / 1-2期
关键词：
foreign exchange; moving-average; Yule-Walker formula; white noise;
D O I：
10.1016/j.physa.2004.06.118
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We introduce a weighted-moving-average analysis for the tick-by-tick data of yen-dollar exchange rates. The weights are determined automatically for given data by applying the Yule-Walker formula for autoregressive model. Although the data are non-stationary, the resulting moving average gives a quite nice property that the deviation around the moving-average becomes a white noise. The weights decay exponentially with time scale less than 2 min implying that dealers are watching only very recent market state. (C) 2004 Published by Elsevier B.V.
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页码：207 / 210
页数：4
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