We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed by Simonsen et al. (Eur. Phys. J. 27 (2002) 583) and Jensen et al. (Physica A 324 (2003) 338). Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease) ρ in the price of an investment. The analysis is performed for the Deutsch Mark (DM) against the US$ for the full year of 1998, but similar results are obtained for the Japanese Yen against the US$. With high statistical significance, the presence of "resonance peaks" in the waiting time distributions is established. Such peaks are a consequence of the trading habits of the market participants as they are not present in the corresponding tick (business) waiting time distributions. Furthermore, a new stylized fact, is observed for the (normalized) waiting time distribution in the form of a power law Pdf. This result is achieved by rescaling of the physical waiting time by the corresponding tick time thereby partially removing scale-dependent features of the market activity.

Inverse statistics in the foreign exchange markets

Petroni, F.;
2004

Abstract

We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed by Simonsen et al. (Eur. Phys. J. 27 (2002) 583) and Jensen et al. (Physica A 324 (2003) 338). Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease) ρ in the price of an investment. The analysis is performed for the Deutsch Mark (DM) against the US$ for the full year of 1998, but similar results are obtained for the Japanese Yen against the US$. With high statistical significance, the presence of "resonance peaks" in the waiting time distributions is established. Such peaks are a consequence of the trading habits of the market participants as they are not present in the corresponding tick (business) waiting time distributions. Furthermore, a new stylized fact, is observed for the (normalized) waiting time distribution in the form of a power law Pdf. This result is achieved by rescaling of the physical waiting time by the corresponding tick time thereby partially removing scale-dependent features of the market activity.
Econophysics; Interdisciplinary physics; Inverse statistics
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11584/13016
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