Renner, Ch.; Peinke, J.; Friedrich, R. - In: Physica A: Statistical Mechanics and its Applications 298 (2001) 3, pp. 499-520
We present a stochastic analysis of a data set consisting of 106 quotes of the US Dollar–German Mark exchange rate. Evidence is given that the price changes x(τ) upon different delay times τ can be described as a Markov process evolving in τ. Thus, the τ-dependence of the probability...