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.
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Ohnishi, T., Takayasu, H., Ito, T. et al. Dynamics of quote and deal prices in the foreign exchange market. J Econ Interac Coord 3, 99–106 (2008). https://doi.org/10.1007/s11403-008-0033-7
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DOI: https://doi.org/10.1007/s11403-008-0033-7