The objective of this paper is to test the exchange rate dynamics by measuring the speed of adjustment of prices. In this overshooting model, we assume price stickiness (gradual adjustment). If the prices are adjusted instantaneously, we will have the monetarist view; otherwise, the overshooting one, due to slow adjustment of prices and consequently, it affects all the other variables and slowly the exchange rate. We outline, here, an approach of testing the dynamic models of exchange rate determination. This approach is based upon the idea that it is difficult to measure directly the process by which market participants revise their expectations about current and future money supplies. On the other hand, it is possible to make indirect inferences about these expectations through a time series analysis of related financial and real prices. Empirical tests of the above exchange rate dynamics are taking place for four different exchange rates ($/€, $/£, C$/$, and ¥/$). Theoretical discussion and empirical evidence have emphasized the impact of gradual adjustment and “overshooting” that it is taking place. Only for the $/€ exchange rate the monetarist model is correct.
Impact of Macroeconomic Factors on Share Price Index in Vietnam’s Stock Markettheijes
This paper investigates the macroeconomic determinants of share price in the stock market of Vietnam. The investigation was conducted by using a VECM econometric methodology and revealed thatVietnam’s stock market prices are chiefly determined by economic activities: market price index, inflation, money supply and exchange rate. An increase in market price index and money supply makes share price, while the increase of inflation (CPI) and exchange rate reduces share price. The study’s result showed that Vietnam’s stock market can be replaced by investors of foreign currency (USD), while the exchange rate tends to rise.
International Journal of Business and Management Invention (IJBMI) is an international journal intended for professionals and researchers in all fields of Business and Management. IJBMI publishes research articles and reviews within the whole field Business and Management, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online.
The objective of this paper is to test the exchange rate dynamics by measuring the speed of adjustment of prices. In this overshooting model, we assume price stickiness (gradual adjustment). If the prices are adjusted instantaneously, we will have the monetarist view; otherwise, the overshooting one, due to slow adjustment of prices and consequently, it affects all the other variables and slowly the exchange rate. We outline, here, an approach of testing the dynamic models of exchange rate determination. This approach is based upon the idea that it is difficult to measure directly the process by which market participants revise their expectations about current and future money supplies. On the other hand, it is possible to make indirect inferences about these expectations through a time series analysis of related financial and real prices. Empirical tests of the above exchange rate dynamics are taking place for four different exchange rates ($/€, $/£, C$/$, and ¥/$). Theoretical discussion and empirical evidence have emphasized the impact of gradual adjustment and “overshooting” that it is taking place. Only for the $/€ exchange rate the monetarist model is correct.
Impact of Macroeconomic Factors on Share Price Index in Vietnam’s Stock Markettheijes
This paper investigates the macroeconomic determinants of share price in the stock market of Vietnam. The investigation was conducted by using a VECM econometric methodology and revealed thatVietnam’s stock market prices are chiefly determined by economic activities: market price index, inflation, money supply and exchange rate. An increase in market price index and money supply makes share price, while the increase of inflation (CPI) and exchange rate reduces share price. The study’s result showed that Vietnam’s stock market can be replaced by investors of foreign currency (USD), while the exchange rate tends to rise.
International Journal of Business and Management Invention (IJBMI) is an international journal intended for professionals and researchers in all fields of Business and Management. IJBMI publishes research articles and reviews within the whole field Business and Management, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online.
ANALYSIS OF INTRADAY TRADING OF INDEX OPTION IN KOREAN OPTION MARKETcscpconf
The option market in South Korea began on 7 July 1997. After then, the amount of option
market has increased steeply. In these days, average daily payments is beyond 1 trillion won.
It is impossible to predict the market. But using the statistics, investors can get a profit steadly.
The open interest contracts of index future has increased over 4000 after start time of a day and
decrease down to about 0 when closing time.
As for this characteristics of index future, Ko[1] suggested the volatility strategy and brought the
result of simulation with the profit of 1.07 % per a day. This profit comes to real if an investor
finds a brokerage firm with low commissions.
This paper suggests another strategy. The price of options consists of time value and intrinsic
value. And the fall of index future is faster than rising. Therefore velocity of moving index cause
the price of options. The simulation results give a fascinating fact that put option tends to
increase in the morning and call option tends to increase in the afternoon.
With this velocity strategy, investors get the profit 1.4% per a day except commissions of 0.15%
per one trade.
How to Apply VECM to Detect the J-Curve in the Case of JapanDr. Kelly YiYu Lin
Japan has been in economic stagnation for more than two decades. The Japanese yen had a substantial depreciation from 80 yen/U.S. dollar in 2012 to 120 yen/U.S. dollar in 2014. From the third quarter in 2012 to the third quarter in 2014, Japan’s trade balance deteriorated. In this paper, we applied VECM (vector error correction model) to detect if the J-curve effect exists in the case of Japan. Results confirm the existence of the J-curve when the U.S. federal funds rate, as one of the driving forces, affects Japan’s trade balance, as well as its exchange rate simultaneously.
Analysis of intraday trading of index option in korean option marketcsandit
The option market in South Korea began on 7 July 1997. After then, the amount of option
market has increased steeply. In these days, average daily payments is beyond 1 trillion won.
It is impossible to predict the market. But using the statistics, investors can get a profit steadly.
The open interest contracts of index future has increased over 4000 after start time of a day and
decrease down to about 0 when closing time.
As for this characteristics of index future, Ko[1] suggested the volatility strategy and brought the
result of simulation with the profit of 1.07 % per a day. This profit comes to real if an investor
finds a brokerage firm with low commissions.
This paper suggests another strategy. The price of options consists of time value and intrinsic
value. And the fall of index future is faster than rising. Therefore velocity of moving index cause
the price of options. The simulation results give a fascinating fact that put option tends to
increase in the morning and call option tends to increase in the afternoon.
With this velocity strategy, investors get the profit 1.4% per a day except commissions of 0.15%
per one trade.
Mr. Tohru Sasaki, Managing Director and Head of Japan Rates and FX Research, JP Morgan was one of the keynote speakers at the Asia Business Forum, organised by London Business School's Asia Club, on 27 April 2013. He spoke about the economic policies advocated by Japan's Prime Minister and the implication that they have to the Asian economy.
Find out more about the Asia Club:
Website: https://clubs.london.edu/asiaclub
Facebook: https://www.facebook.com/LBS.AsiaClub
Twitter: https://twitter.com/LBSAsiaClub
Diversify into debt funds with ICICI Prudential Floating Interest Fund and aim to generate income by investing in floating rate instruments while maintaining the optimum balance of yield, safety and liquidity.
Forecasting real economic growth by using the information contents of financial asset prices is one of the main themes in financial studies in recent years. Based on the micro-level stock data from Shenzhen Stock Exchange Market, the paper constructs a cross-section volatility measure using sample stocks, investigates the impact of stock price volatility on economic growth, and forecasts economic growth with stock prices volatility of different firm size. The empirical results indicate that stock price volatility is a good indicator for forecasting economic growth. The results also show that volatility of both large and small firms can be useful in forecasting economic growth. In addition, volatility of small firms can better predict economic growth.
In this presentation you can find an analysis focused on the determinants that drives people to choose fixed rate or floating rate when they subscribe a mortgage.
Strumsky lobo (2011) does patenting intensity beget qualityivan weinel
This paper addresses the following research question: Is the quality of patents issued in a given metropolitan area related to the per capita rate of patent authorship (patenting intensity / productivity)? The authors conclude that there may be a small positive response of patent quality (avg. number of citations received per patent granted) to increases in patenting productivity. Highly productive inventors do not necessarily generate high quality patents.
ANALYSIS OF INTRADAY TRADING OF INDEX OPTION IN KOREAN OPTION MARKETcscpconf
The option market in South Korea began on 7 July 1997. After then, the amount of option
market has increased steeply. In these days, average daily payments is beyond 1 trillion won.
It is impossible to predict the market. But using the statistics, investors can get a profit steadly.
The open interest contracts of index future has increased over 4000 after start time of a day and
decrease down to about 0 when closing time.
As for this characteristics of index future, Ko[1] suggested the volatility strategy and brought the
result of simulation with the profit of 1.07 % per a day. This profit comes to real if an investor
finds a brokerage firm with low commissions.
This paper suggests another strategy. The price of options consists of time value and intrinsic
value. And the fall of index future is faster than rising. Therefore velocity of moving index cause
the price of options. The simulation results give a fascinating fact that put option tends to
increase in the morning and call option tends to increase in the afternoon.
With this velocity strategy, investors get the profit 1.4% per a day except commissions of 0.15%
per one trade.
How to Apply VECM to Detect the J-Curve in the Case of JapanDr. Kelly YiYu Lin
Japan has been in economic stagnation for more than two decades. The Japanese yen had a substantial depreciation from 80 yen/U.S. dollar in 2012 to 120 yen/U.S. dollar in 2014. From the third quarter in 2012 to the third quarter in 2014, Japan’s trade balance deteriorated. In this paper, we applied VECM (vector error correction model) to detect if the J-curve effect exists in the case of Japan. Results confirm the existence of the J-curve when the U.S. federal funds rate, as one of the driving forces, affects Japan’s trade balance, as well as its exchange rate simultaneously.
Analysis of intraday trading of index option in korean option marketcsandit
The option market in South Korea began on 7 July 1997. After then, the amount of option
market has increased steeply. In these days, average daily payments is beyond 1 trillion won.
It is impossible to predict the market. But using the statistics, investors can get a profit steadly.
The open interest contracts of index future has increased over 4000 after start time of a day and
decrease down to about 0 when closing time.
As for this characteristics of index future, Ko[1] suggested the volatility strategy and brought the
result of simulation with the profit of 1.07 % per a day. This profit comes to real if an investor
finds a brokerage firm with low commissions.
This paper suggests another strategy. The price of options consists of time value and intrinsic
value. And the fall of index future is faster than rising. Therefore velocity of moving index cause
the price of options. The simulation results give a fascinating fact that put option tends to
increase in the morning and call option tends to increase in the afternoon.
With this velocity strategy, investors get the profit 1.4% per a day except commissions of 0.15%
per one trade.
Mr. Tohru Sasaki, Managing Director and Head of Japan Rates and FX Research, JP Morgan was one of the keynote speakers at the Asia Business Forum, organised by London Business School's Asia Club, on 27 April 2013. He spoke about the economic policies advocated by Japan's Prime Minister and the implication that they have to the Asian economy.
Find out more about the Asia Club:
Website: https://clubs.london.edu/asiaclub
Facebook: https://www.facebook.com/LBS.AsiaClub
Twitter: https://twitter.com/LBSAsiaClub
Diversify into debt funds with ICICI Prudential Floating Interest Fund and aim to generate income by investing in floating rate instruments while maintaining the optimum balance of yield, safety and liquidity.
Forecasting real economic growth by using the information contents of financial asset prices is one of the main themes in financial studies in recent years. Based on the micro-level stock data from Shenzhen Stock Exchange Market, the paper constructs a cross-section volatility measure using sample stocks, investigates the impact of stock price volatility on economic growth, and forecasts economic growth with stock prices volatility of different firm size. The empirical results indicate that stock price volatility is a good indicator for forecasting economic growth. The results also show that volatility of both large and small firms can be useful in forecasting economic growth. In addition, volatility of small firms can better predict economic growth.
In this presentation you can find an analysis focused on the determinants that drives people to choose fixed rate or floating rate when they subscribe a mortgage.
Strumsky lobo (2011) does patenting intensity beget qualityivan weinel
This paper addresses the following research question: Is the quality of patents issued in a given metropolitan area related to the per capita rate of patent authorship (patenting intensity / productivity)? The authors conclude that there may be a small positive response of patent quality (avg. number of citations received per patent granted) to increases in patenting productivity. Highly productive inventors do not necessarily generate high quality patents.
The author finds that using the ratio of a fast moving average to that of a slower one as an indicator to buy or sell individual stocks outperforms both traditional measures of price momentum (recent rate of change in security price) as well as the proximity of the stock price to its 52 week high.
Author presents a model of the distribution of wealth within a market society that: 1) can be calibrated to display the basic "stylized facts" (mixed exponential and Pareto distribution of wealth; Gini coefficient); 2) demonstrates the effectiveness of relatively modest changes in tax and transfer policies in reducing the degree of inequality characterizing the society.
The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large new Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economy, we quantify the extent to which demographic changes over the last three decades have contributed to the decline of the unemployment rate. Our findings yield important implications for the future evolution of unemployment given the anticipated further aging of the working population in Europe. We also quantify the implications for optimal monetary policy: lowering inflation volatility becomes less costly in terms of GDP and unemployment volatility, which hints that optimal monetary policy may be more hawkish in an aging society. Finally, our results also propose a partial reversal of the European-US unemployment puzzle due to the fact that the share of young workers is expected to remain robust in the US.
how to swap pi coins to foreign currency withdrawable.DOT TECH
As of my last update, Pi is still in the testing phase and is not tradable on any exchanges.
However, Pi Network has announced plans to launch its Testnet and Mainnet in the future, which may include listing Pi on exchanges.
The current method for selling pi coins involves exchanging them with a pi vendor who purchases pi coins for investment reasons.
If you want to sell your pi coins, reach out to a pi vendor and sell them to anyone looking to sell pi coins from any country around the globe.
Below is the contact information for my personal pi vendor.
Telegram: @Pi_vendor_247
Abhay Bhutada Leads Poonawalla Fincorp To Record Low NPA And Unprecedented Gr...Vighnesh Shashtri
Under the leadership of Abhay Bhutada, Poonawalla Fincorp has achieved record-low Non-Performing Assets (NPA) and witnessed unprecedented growth. Bhutada's strategic vision and effective management have significantly enhanced the company's financial health, showcasing a robust performance in the financial sector. This achievement underscores the company's resilience and ability to thrive in a competitive market, setting a new benchmark for operational excellence in the industry.
Yes of course, you can easily start mining pi network coin today and sell to legit pi vendors in the United States.
Here the telegram contact of my personal vendor.
@Pi_vendor_247
#pi network #pi coins #legit #passive income
#US
BYD SWOT Analysis and In-Depth Insights 2024.pptxmikemetalprod
Indepth analysis of the BYD 2024
BYD (Build Your Dreams) is a Chinese automaker and battery manufacturer that has snowballed over the past two decades to become a significant player in electric vehicles and global clean energy technology.
This SWOT analysis examines BYD's strengths, weaknesses, opportunities, and threats as it competes in the fast-changing automotive and energy storage industries.
Founded in 1995 and headquartered in Shenzhen, BYD started as a battery company before expanding into automobiles in the early 2000s.
Initially manufacturing gasoline-powered vehicles, BYD focused on plug-in hybrid and fully electric vehicles, leveraging its expertise in battery technology.
Today, BYD is the world’s largest electric vehicle manufacturer, delivering over 1.2 million electric cars globally. The company also produces electric buses, trucks, forklifts, and rail transit.
On the energy side, BYD is a major supplier of rechargeable batteries for cell phones, laptops, electric vehicles, and energy storage systems.
USDA Loans in California: A Comprehensive Overview.pptxmarketing367770
USDA Loans in California: A Comprehensive Overview
If you're dreaming of owning a home in California's rural or suburban areas, a USDA loan might be the perfect solution. The U.S. Department of Agriculture (USDA) offers these loans to help low-to-moderate-income individuals and families achieve homeownership.
Key Features of USDA Loans:
Zero Down Payment: USDA loans require no down payment, making homeownership more accessible.
Competitive Interest Rates: These loans often come with lower interest rates compared to conventional loans.
Flexible Credit Requirements: USDA loans have more lenient credit score requirements, helping those with less-than-perfect credit.
Guaranteed Loan Program: The USDA guarantees a portion of the loan, reducing risk for lenders and expanding borrowing options.
Eligibility Criteria:
Location: The property must be located in a USDA-designated rural or suburban area. Many areas in California qualify.
Income Limits: Applicants must meet income guidelines, which vary by region and household size.
Primary Residence: The home must be used as the borrower's primary residence.
Application Process:
Find a USDA-Approved Lender: Not all lenders offer USDA loans, so it's essential to choose one approved by the USDA.
Pre-Qualification: Determine your eligibility and the amount you can borrow.
Property Search: Look for properties in eligible rural or suburban areas.
Loan Application: Submit your application, including financial and personal information.
Processing and Approval: The lender and USDA will review your application. If approved, you can proceed to closing.
USDA loans are an excellent option for those looking to buy a home in California's rural and suburban areas. With no down payment and flexible requirements, these loans make homeownership more attainable for many families. Explore your eligibility today and take the first step toward owning your dream home.
how can I sell pi coins after successfully completing KYCDOT TECH
Pi coins is not launched yet in any exchange 💱 this means it's not swappable, the current pi displaying on coin market cap is the iou version of pi. And you can learn all about that on my previous post.
RIGHT NOW THE ONLY WAY you can sell pi coins is through verified pi merchants. A pi merchant is someone who buys pi coins and resell them to exchanges and crypto whales. Looking forward to hold massive quantities of pi coins before the mainnet launch.
This is because pi network is not doing any pre-sale or ico offerings, the only way to get my coins is from buying from miners. So a merchant facilitates the transactions between the miners and these exchanges holding pi.
I and my friends has sold more than 6000 pi coins successfully with this method. I will be happy to share the contact of my personal pi merchant. The one i trade with, if you have your own merchant you can trade with them. For those who are new.
Message: @Pi_vendor_247 on telegram.
I wouldn't advise you selling all percentage of the pi coins. Leave at least a before so its a win win during open mainnet. Have a nice day pioneers ♥️
#kyc #mainnet #picoins #pi #sellpi #piwallet
#pinetwork
1. Elemental Economics - Introduction to mining.pdfNeal Brewster
After this first you should: Understand the nature of mining; have an awareness of the industry’s boundaries, corporate structure and size; appreciation the complex motivations and objectives of the industries’ various participants; know how mineral reserves are defined and estimated, and how they evolve over time.
Turin Startup Ecosystem 2024 - Ricerca sulle Startup e il Sistema dell'Innov...Quotidiano Piemontese
Turin Startup Ecosystem 2024
Una ricerca de il Club degli Investitori, in collaborazione con ToTeM Torino Tech Map e con il supporto della ESCP Business School e di Growth Capital
1. arXiv:physics/0509256v130Sep2005 APS/123-QED
Analysis of Binarized High Frequency Financial Data
Naoya Sazuka∗
Corporate Human Resources Dept,
Sony Corporation,
4-10-18 Takanawa Minato-ku,
Tokyo, 108-0074 Japan
(Dated: October 3, 2005)
Abstract
A non-trivial probability structure is evident in the binary data extracted from the up/down price
movements of very high frequency data such as tick-by-tick data for USD/JPY. In this paper, we
analyze the Sony bank USD/JPY rates, ignoring the small deviations from the market price. We
then show there is a similar non-trivial probability structure in the Sony bank rate, in spite of the
Sony bank rate’s having less frequent and larger deviations than tick-by-tick data. However, this
probability structure is not found in the data which has been sampled from tick-by-tick data at
the same rate as the Sony bank rate. Therefore, the method of generating the Sony bank rate
from the market rate has the potential for practical use since the method retains the probability
structure as the sampling frequency decreases.
PACS numbers: 89.65.Gh
∗
Electronic address: Naoya.Sazuka@jp.sony.com
1
2. I. INTRODUCTION
In recent years, there have been various analyses of high frequency financial data which
has been within the past decade become available [1, 2]. High frequency financial data
describe the market behavior in fine detail and they have an interesting statistical property
that is not seen from the low frequency data.
In our previous works [3, 6], we showed the non-trivial probability structure in the tick-
by-tick data for USD/JPY with a focus on the direction of up/down price movements, as
opposed to the extent of price movement. A non-trivial probability structure is not apparent
from price changes themselves [4]. Such a probability structure is also observed in the high
frequency data of the NYSE for example GE data. In addition, we proposed the non-linear
logit model that agrees well with the empirical data.
The purpose of this paper is to understand in more detail the non-trivial probability
structure of binarized high frequency data. We analyze the Sony bank USD/JPY rates,
ignoring the small deviations from the market rate. We found that the non-trivial probability
structure is evident in the Sony bank USD/JPY rate, even if the data have about a 20 minute
interval between data points and larger price changes than tick-by-tick data.
The paper is organized as follows. In Section 2, we first explain the Sony bank and the
Sony bank rate. In Section 3, we analyze the Sony bank rate. We present our conclusions
in Section 4.
II. DATA
A. Sony bank
The Sony bank (http://moneykit.net/), launched in 2001, is an internet-based bank
for individual customers in Japan and aims to provide them with low cost services as close
as possible to the professional market environment. One of their main services is online
foreign-exchange trading, and this is quite popular. As of July 2005, the Sony bank deals
with eight currencies and they have about 130,000 foreign-currency accounts, which is about
30% of the total number of accounts. On the other hand, foreign-currency accounts are only
about 3% of all accounts in conventional banks.
There are three main reasons for the popularity of the bank’s foreign-exchange trading.
2
3. Firstly, trades can be made on the web 24 hours a day, 7 day a week. In conventional banks
in Japan, however, customers actually have to go to a branch and can trade only during
weekday business hours. Secondly, customers can trade at the Sony bank’s rate which at all
times closely reflects the market rate. In conventional banks, the trading rate for individual
customers is fixed at one time in the morning for the day’s trading. Finally, the bank’s low
transaction cost. For example, the trading cost of the Sony bank for USD/JPY is 0.25 yen
per dollar, which is about a quarter of the trading cost of conventional banks
B. Sony bank rate
Market rates
rate
tick
0.1 yen
0.1 yen
Sony bank rates
t0 t1
t2
Market rates
rate
tick
0.1 yen
0.1 yen
Sony bank rates
t0 t1
t2
FIG. 1: Update of the Sony bank rate for USD/JPY. The Sony bank USD/JPY rate is a solid line
and the market rate is a broken line. In this figure, the Sony bank USD/JPY rate is fixed from t0
to t1 and is updated to the market rate at t2, as the market rate exceeds the range of 0.1 yen at
t2 based on the market rate at t0.
In this paper, we analyze the Sony bank rate for USD/JPY. The Sony bank rate is the
foreign-currency exchange rate that customers having a foreign-currency account of the Sony
bank can deal at. The Sony bank rate is dependent on the market rate but is independent
of the customers’ orders. If the USD/JPY market rate changes more than 0.1 yen, the Sony
bank rate is updated to the market rate. Figure 1 is a schematic of the updating of the
Sony bank rate for USD/JPY. If the market rate changes along the broken line, the Sony
bank rate follows the solid line. Suppose the market rate (broken line) is the same as the
Sony bank rate (solid line) at the time t0. The Sony bank rate stays flat from t0 to t1, as
3
4. the market rate is in the range of 0.1 yen based on the market rate at t0. When the market
rate exceeds the range of 0.1 yen at t2, the Sony bank rate is updated to the market rate.
Since the Sony bank rate ignores small deviations in the market price by applying its
updating rule, the Sony bank rate has less frequent and larger price changes than tick-by-
tick data. The comparison is shown in Table I. The smallest price change, which is the
majority of the price changes, is 0.1 yen for the Sony bank rate. On the other hand, 40% of
price changes in tick-by-tick data are zero deviations between data points. We ignore such
cases in order to focus on only the direction of up/down price movements. Then tick-by-tick
data moves by a 0.01 yen unit.
TABLE I: The Sony bank USD/JPY rate and tick-by-tick data for USD/JPY
Sony bank rate tick-by-tick data
Number of data a day ∼70 ∼10,000
The smallest price change 0.1 yen 0.01 yen
Average interval between data ∼20 minutes ∼7 seconds
III. ANALYSIS
We analyze the Sony bank USD/JPY rates for the period of 22/10/2001 to 31/05/2005
(Figure 2). The data is composed of value S(t) of yen value per dollar at the Sony bank tick
step t. The number of data is 45,577.
As analyzed in our previous works [3, 6], we first binarize data extracting the direction
of the up/down price movement in the following way: X(t) = +1 if S(t + 1) − S(t) > 0 and
X(t) = −1 if S(t + 1) − S(t) < 0. According to the update rule, the Sony bank rate do not
have zero deviations between data points (S(t + 1) − S(t) = 0) not like tick-by-tick data.
Next we compute the conditional probabilities of binary data X(t) upto 4th order.
Then we show the non-trivial conditional probability structure of the binary data X(t).
Figure 3 is the probability structure of the Sony bank rates for whole period, and the first
half of the data and the second half of the data. The data was divided into two periods
to compare the tendencies. We show only “+” side of the conditional probabilities because
of the up/down symmetry. Although it would seem obvious that if the market is rising,
4
5. 10000 20000 30000 40000
t ticks
110
115
120
125
130
135
S
¡t¢ Sony bank rates
FIG. 2: The Sony bank USD/JPY rates ploted against ticks for the period 22/10/2001 to
31/05/2005.
there must be more +’s than -’s, in fact, if we only have the data which is triggers and
change in the Sony bank rate, there will be over the long run a almost equal number
of + and - changes. This non-trivial probability structure is not only in the first order
conditional probabilities but also higher orders. Especially, it is likely to happen a regular
“zigzag” motion of alternating up and down, for example P(+|−, +, −, +) is 73%, rather
than irregular “zigzag” motions, for example P(+|−, +, −, +) is 63% and a motion in one
direction, for example P(+|+, +, +, +) is 40%.
It is interesting that the Sony bank rate has a probability structure, considering that
the average interval between data points is about 20 minutes. However, this probability
structure is not found in the data which has been sampled from tick-by-tick data at the
same rate as the Sony bank rate. Zhang looked similar higher order statistics and found
that the probability structure was not observed in the data recoded every 30 minutes [5].
In addition, the probability structure of the Sony bank rate is not the effect of the negative
first-order auto correlation in the second scale tick-by-tick data, since many transactions
occur during 20 minutes. Therefore, the method of generating the Sony bank rate from the
market rate can retain the probability structure as a sampling frequency decreases.
The probability structure of the Sony bank rate is not only based on less frequent sampling
but also larger deviations than tick-by-tick data. As shown in an Table I, the probability
structure of tick-by-tick data is mostly 0.01 yen price changes within 7 seconds on an average
5
6. 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
P(+)
P(+|+)
P(+|+,+)
P(+|-,+)
P(+|+,+,+)
P(+|-,+,+)
P(+|+,-,+)
P(+|+,+,-)
P(+|+,+,+,+)
P(+|-,+,+,+)
P(+|+,-,+,+)
P(+|+,+,-,+)
P(+|+,+,+,-)
P(+|-,-,+,+)
P(+|-,+,-,+)
P(+|-,+,+,-)
all data
1st half
2nd half
FIG. 3: Probability structure of the Sony bank USD/JPY rate. Each conditional probability has
three bars. The upper one is the result of whole period 22/10/2001 to 31/05/2005. The middle is
for the first half of the data. The lower is for the second half of the data. The error bars represent
a 95% confidence interval on the mean
and sometimes even shorter. This may be too frequent and small for practical use. However,
the Sony bank rate essentially reflects mostly 0.1 yen price changes and about 20 minutes
interval between price chages. Therefore, there is a better chance to take advantage of the
Sony bank rate.
In addition, we compare the probability structure of GE stock data on NYSE shown
in [6]. The data was collected in December 2002. The number of GE data for one
day is about 180,000, which is more frequent than the tick-by-tick data for USD/JPY.
Figure 4 shows that the reliability of the probability structure increases as the sam-
pling frequency increases, comparing tick-by-tick data for USD/JPY, the Sony bank
USD/JPY rate and GE data on NYSE. The exceptions are regular “zigzag” motions such as
P(+|−, +), P(+|+, −, +), P(+|−, +, −, +). In these cases, the probability structure of the
Sony bank rate is more reliable than the tick-by-tick USD/JPY rate.
6
7. 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
P(+)
P(+|+)
P(+|+,+)
P(+|-,+)
P(+|+,+,+)
P(+|-,+,+)
P(+|+,-,+)
P(+|+,+,-)
P(+|+,+,+,+)
P(+|-,+,+,+)
P(+|+,-,+,+)
P(+|+,+,-,+)
P(+|+,+,+,-)
P(+|-,-,+,+)
P(+|-,+,-,+)
P(+|-,+,+,-)
Sony bank rate
tick-by-tick data
GE
FIG. 4: Comparison of the bias among the tick-by-tick data for GE on NYSE, tick-by-tick data for
USD/JPY and Sony bank USD/JPY rates. The reliability of the probability structure increaces
as the frequency of the data increaces. The error bars represent a 95% confidence interval on the
mean.
IV. CONCLUSION
We analyzed the Sony bank USD/JPY rate, which closely reflects the market rate, with
a focus on the up/down price movement, as opposed to the extent of price movement. The
Sony bank has a lower sampling rate and shows larger price change deviations than the
market rate. The main result is that a probability structure is observed in the Sony bank
rate, in spite of the interval between data points of the Sony bank rate is about 20 minutes.
However, this probability structure is not found in the data which has been sampled from
tick-by-tick data at the same rate as the Sony bank rate. Therefore, the method of generating
the Sony bank rate from the market rate can retain the probability structure as the sampling
frequency decreases. There is a better chance to take advantage of the Sony bank rate in
practical use.
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8. Acknowledgments
I would like to thank Shigeru Ishi, President of the Sony bank, for kindly providing the
Sony bank data. The NYSE data are from King’s College London.
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