Time scale defined by the fractal structure of the price fluctuations in foreign exchange markets

Research output: Contribution to journalArticle

Abstract

In this contribution, a new time scale named C-fluctuation time is defined by price fluctuations observed at a given resolution. The intraday fractal structures and the relations of the three time scales: real time (physical time), tick time and C-fluctuation time, in foreign exchange markets are analyzed. The data set used is trading prices of foreign exchange rates; US dollar (USD)/Japanese yen (JPY), USD/Euro (EUR), and EUR/JPY. The accuracy of the data is one minute and data within a minute are recorded in order of transaction. The series of instantaneous velocity of C-fluctuation time flowing are exponentially distributed for small C when they are measured by real time and for tiny C when they are measured by tick time. When the market is volatile, for larger C, the series of instantaneous velocity are exponentially distributed.

Original languageEnglish
Article number012016
JournalJournal of Physics: Conference Series
Volume221
DOIs
Publication statusPublished - 2010 Jan 1

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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