Summary
We analyze tick-data of yen-dollar exchange rate and study the distribution of first-passage time (in short FPT), which is defined by the time that the rate firstly moves out from a given range. We report that the distribution of FPT is well described by a stretched exponential function with. This fact indicates that the process of yen-dollar exchange fluctuation is much slower than the normal Brownian motion. Applying the same analysis to the data with stable-volatility we find that the stretched exponential properties are partly related to magnitude of volatility.
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References
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Jensen, M. H., Johansen, A., and Simonsen, I., coud-mat/0211039
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© 2004 Springer Japan
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Kurihara, S., Mizuno, T., Takayasu, H., Takayasu, M. (2004). First-Passage Problem in Foreign Exchange Rate. In: Takayasu, H. (eds) The Application of Econophysics. Springer, Tokyo. https://doi.org/10.1007/978-4-431-53947-6_23
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DOI: https://doi.org/10.1007/978-4-431-53947-6_23
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-67961-5
Online ISBN: 978-4-431-53947-6
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