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Dynamical Volatilities for Yen-Dollar Exchange Rates

Kyungsik Kim·Seong-Min Yoon·C. Christopher Lee·Myung-Kul Yum
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Abstract

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 exponent k = 0.96 (one minute) and 0.86 (ten minutes), and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.

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Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee, Myung-Kul Yum. 2004-09-04. Dynamical Volatilities for Yen-Dollar Exchange Rates. https://arxiv.org/abs/cond-mat/0409097

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