Misako Takayasu ワーキングペーパー一覧に戻る

  • On the Nonstationarity of the Exchange Rate Process

    Abstract

    We empirically investigate the nonstationarity property of the dollar-yen exchange rate by using an eight year span of high frequency data set. We perform a statistical test of strict stationarity based on the two-sample KolmogorovSmirnov test for the absolute price changes, and the Pearson’s chi-square test for the number of successive price changes in the same direction, and find statistically significant evidence of nonstationarity. We further study the recurrence intervals between the days in which nonstationarity occurs, and find that the distribution of recurrence intervals is well-approximated by an exponential distribution. Also, we find that the mean conditional recurrence interval 〈T|T0〉 is independent of the previous recurrence interval T0. These findings indicate that the recurrence intervals is characterized by a Poisson process. We interpret this as reflecting the Poisson property regarding the arrival of news.

    Introduction

    Financial time series data have been extensively investigated using a wide
    variety of methods in econophysics. These studies tend to assume, explicitly
    or implicitly, that a time series is stationary, since stationarity is a requirement
    for most of the mathematical theories underlying time series analysis.
    However, despite its nearly universal assumption, there is little previous studies
    that seek to test stationarity in a reliable manner. (Toth1a et al. (2010)).

  • Random Walk or A Run ―Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability―

    Abstract

    Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a “run”—continuous increases or decreases in deal prices for the past several ticks—does have some predictable information on the direction of the next price movement. Deal price movements, that are consistent with order flows, tend to continue a run once it started i.e., conditional probability of deal prices tend to move in the same direction as the last several times in a row is higher than 0.5. However, quote prices do not show such tendency of a run. Hence, a random walk hypothesis is refuted in a simple test of a run using the tick by tick data. In addition, a longer continuous increase of the price tends to be followed by larger reversal. The findings suggest that those market participants who have access to real-time, tick-by-tick transaction data may have an advantage in predicting the exchange rate movement. Findings here also lend support to the momentum trading strategy.

    Introduction

    The foreign exchange market remains sleepless around the clock. Someone is trading somewhere all the time—24 hours a day, 7 days a week, 365 days a year. Analyzing the behavior of the exchange rate has become a popular sport of international finance researchers, while global financial institutions are spending millions of dollars to build real-time computer trading systems (program trading). High-frequency, reliable data are the key in finding robust results for good research for academics or profitable schemes for businesses.

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