Open AccessStability of Markovian structure observed in high frequency foreign exchange data
Author(s) -
Mieko Tanaka-Yamawaki
Publication year - 2003
Publication title -
annals of the institute of statistical mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.65
H-Index - 45
eISSN - 1572-9052
pISSN - 0020-3157
DOI - 10.1007/bf02530510
Subject(s) - stability (learning theory) , binomial (polynomial) , econometrics , mathematics , conditional expectation , series (stratigraphy) , foreign exchange , order (exchange) , exchange rate , statistics , economics , computer science , finance , paleontology , machine learning , monetary economics , biology
Markovian structure, memory length, conditional probability, high frequency data in finance, tick data, foreign exchange rates, prediction,
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom