Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability

DOI10.1080/14697681003792237zbMath1279.91133OpenAlexW2892117720WikidataQ111620772 ScholiaQ111620772MaRDI QIDQ2869981

Takaaki Ohnishi, Yuko Hashimoto, Misako Takayasu, Hideki Takayasu, Tsutomu Watanabe, Takatoshi Ito

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w14160.pdf

zbMATH Keywords

exchange ratesfinancial time seriesinternational financeinternational economics

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Simple stochastic order-book model of swarm behavior in continuous double auction ⋮ Rapid detection of the switching point in a financial market structure using the particle filter ⋮ The predictive performance of the currency futures basis for spot returns

Cites Work

• Bayesian model averaging and exchange rate forecasts
• Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
• ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY

This page was built for publication: Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability