Modeling of waiting times and price changes in currency exchange data

Przemyslaw Repetowicz; Peter Richmond

doi:10.1016/j.physa.2004.06.162

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Modeling of waiting times and price changes in currency exchange data

Przemyslaw Repetowicz·Peter Richmond

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Abstract

A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density function (pdf) which uses the concept of a Lévy stable distribution is worked out. The theory is fitted to high-frequency US$/Japanese Yen exchange rate and low-frequency 19th century Irish stock data. The theory has been fitted both to price return and to waiting time data and the adherence to data, in terms of the chi-squared test statistic, has been improved when compared to the old theory.

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Przemyslaw Repetowicz, Peter Richmond. 2003-10-15. Modeling of waiting times and price changes in currency exchange data. https://doi.org/10.1016/j.physa.2004.06.162

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