Business Administration, Management, and Operations Commons^™

Dynamical Volatilities For Yen-Dollar Exchange Rates, Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee, Myung-Kul Yum

All Faculty Scholarship for the College of the Sciences

We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponent κ = 0.96 (one minute) and 0.86 (ten minutes), and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.