Summary
We firstly introduce an optimal moving average for Yen-Dollar tick data that makes the residual term to be an independent noise. This noise separation is realized for weight functions decaying nearly exponentially with characteristic time about 30 seconds. We further introduce another moving average applied to the optimal moving average in order to elucidate underlying force acting on the optimal moving average. It is found that for certain time scale we can actually estimate potential force that satisfies a simple scaling relation with respect to the time scale of moving average.
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References
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© 2006 Springer-Verlag Tokyo
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Takayasu, M., Mizuno, T., Ohnishi, T., Takayasu, H. (2006). Temporal characteristics of moving average of foreign exchange markets. In: Takayasu, H. (eds) Practical Fruits of Econophysics. Springer, Tokyo. https://doi.org/10.1007/4-431-28915-1_4
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DOI: https://doi.org/10.1007/4-431-28915-1_4
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-28914-2
Online ISBN: 978-4-431-28915-9
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