کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978821 1480201 2006 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamical volatilities for yen-dollar exchange rates
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Dynamical volatilities for yen-dollar exchange rates
چکیده انگلیسی
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponents κ=0.92 (1 min) and 0.78 (10 min) and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 359, 1 January 2006, Pages 569-575
نویسندگان
, , , , ,