Mercik, Szymon and Weron, Rafal (2002): Origins of scaling in FX markets.

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Abstract
Typical data sets employed by economists and financial analysts do not exceed a few hundred or thousand observations per series. However, in the last decade data sets containing tickbytick observations have become available. The studies of these data have turned up new and interesting facts about the pricing of assets.
In this article we show that foreign exchange (FX) rate returns satisfy scaling with an exponent significantly different from that of a random walk. But what is more important, we also show that the conditionally exponential decay (CED) model can be used to solve a long standing problem in the analysis of intradaily data, i.e. it can be used to identify the mathematical structure of the distributions of FX returns corresponding to the empirical scaling laws.
Item Type:  MPRA Paper 

Institution:  Hugo Steinhaus Center, Wroclaw University of Technology 
Original Title:  Origins of scaling in FX markets 
Language:  English 
Keywords:  FX market; scaling law; volatility; CED model; high frequency data 
Subjects:  C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C46  Specific Distributions ; Specific Statistics F  International Economics > F3  International Finance > F31  Foreign Exchange C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General 
Item ID:  2294 
Depositing User:  Rafal Weron 
Date Deposited:  17. Mar 2007 
Last Modified:  16. Apr 2015 15:15 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/2294 