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Systematic tuning of optimal weighted-moving-average of yen-dollar market data

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Practical Fruits of Econophysics

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Abstract

We introduce a weighted-moving-average analysis for the tick-by-tick data of yen-dollar exchange market: price, transaction interval and volatility. The weights are determined automatically for given data by applying the Yule-Walker formula for autoregressive model. Although the data are non-stationary the resulting moving average gives a quite nice property that the deviation around the moving-average becomes a white noise.

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References

  1. M.G. Lee, A. Oba, H. Takayasu, Parameter Estimation of a Generalized Langevin Equation of Market Price, in: H. Takayasu (Ed.), Empirical Science of Financial Fluctuations, Springer, 2002, 260–270.

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  2. T. Ohnishi, T. Mizuno, K. Aihara, M. Takayasu, H. Takayasu, Statistical properties of the moving average price in dollar-yen exchange rates, Physica A 344 (2004) 207–210.

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Author information

Authors and Affiliations

  1. Graduate School of Law and Politics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo, 113-0033, Japan

    Takaaki Ohnishi

  2. Department of Physics, Faculty of Science and Engineering, Chuo University, 1-13-27 Kasuga, Bunkyo-ku, Tokyo, 112-8551, Japan

    Takayuki Mizuno

  3. Institute of Industrial Science, The University of Tokyo, 4-6-1 Komaba, Meguro, Tokyo, 153-8505, Japan

    Kazuyuki Aihara

  4. ERATO Aihara Complexity Modelling Project, JST, 45-18 Oyama, Shibuya-ku, Tokyo, 151-0065, Japan

    Kazuyuki Aihara

  5. Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259 Nagatsuta-cho, Midori-ku, Yokohama, 226-8503, Japan

    Misako Takayasu

  6. Sony Computer Science Laboratories Inc., 3-14-13 Higashi-gotanda, Shinagawa-ku, Tokyo, 141-0022, Japan

    Hideki Takayasu

Authors
  1. Takaaki Ohnishi
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  2. Takayuki Mizuno
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  3. Kazuyuki Aihara
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  4. Misako Takayasu
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  5. Hideki Takayasu
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Editor information

Editors and Affiliations

  1. Sony Computer Science Laboratories, Inc., 3-14-13 Higashi-Gotanda, Shinagawa-ku, Tokyo, 141-0022, Japan

    Hideki Takayasu (Senior Researcher) (Senior Researcher)

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© 2006 Springer-Verlag Tokyo

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Ohnishi, T., Mizuno, T., Aihara, K., Takayasu, M., Takayasu, H. (2006). Systematic tuning of optimal weighted-moving-average of yen-dollar market data. In: Takayasu, H. (eds) Practical Fruits of Econophysics. Springer, Tokyo. https://doi.org/10.1007/4-431-28915-1_10

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