Author/Authors :
Toru Ohira، نويسنده , , Naoya Sazuka، نويسنده , , Kouhei Marumo، نويسنده , , Tokiko Shimizu، نويسنده , , Misako Takayasu، نويسنده , , Hideki Takayasu، نويسنده ,
Abstract :
We analyze tick data of yen–dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to question one of the basic assumptions of the traditional market theory, where such bias in high frequency price movements is regarded as not present. We also construct systematically a random walk model reflecting this probability structure.
