Tsonis, A.A.; Heller, F.; Takayasu, H.; Marumo, K.; … - In: Physica A: Statistical Mechanics and its Applications 291 (2001) 1, pp. 574-582
Here we analyze tick data of yen–dollar exchange using random walk methods. We find that there exists a characteristic time scale approximately at 10 min. According to the results at time scales shorter than 10 min, the market exhibits anti-persistence meaning that it self-organizes so as to...