Fractal structure of high-frequency data in the foreign exchange market

Yoshiaki Kumagai*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)


In high-frequency financial data, transactions can occur at varying time intervals. We propose a new method to describe the fractal structure of high frequency data, which are non-equidistant in physical time. Using extreme values determined with a scale, we define functions independent of the time scale. Moreover, we can measure a kind of fractal dimension: the fold dimension. Using these functions, we can analyze non-equidistant data without information losses. In this contribution, we use a high frequency data set on bid and ask prices of the dollar/yen exchange rates.

Original languageEnglish
Pages (from-to)1100-1104
Number of pages5
JournalJournal of the Korean Physical Society
Issue number6
Publication statusPublished - 2002 Jun 1
Externally publishedYes


  • Econophysics
  • Stock-market

ASJC Scopus subject areas

  • Physics and Astronomy(all)


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