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Tick-Level Trend Following in USD-JPY Exchange Rates

Article arXiv papers · Author: Takayuki Mizuno et al.
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Summary

This study examines high-resolution USD-JPY exchange-rate data spanning 13 years. Its focus is on statistical patterns in the distributions and correlations of exchange-rate changes, with particular attention to whether price movements depend on recent movement history. The analysis uses conditional probability densities to identify a trend-following pattern at a scale of eight ticks, described as approximately one minute.

The document reports that the dataset contains 20 million observations and presents the short-horizon trend pattern as a statistical finding. It does not provide details about the sampling procedure, the precise conditional-density estimates, transaction costs, or a trading rule. The reported pattern therefore offers evidence of short-term persistence in this dataset, but does not establish that it can be converted into a profitable strategy or that it generalizes to other currency pairs, periods, or market conditions.

Key ideas

  • The study analyzes 13 years of high-resolution USD-JPY exchange-rate observations.
  • It uses conditional probability densities to examine fluctuation patterns and correlations.
  • The reported analysis finds trend-following movement at an eight-tick scale, approximately one minute.
  • The document does not report whether the pattern remains profitable after trading costs.

Tags

ForexTrend followingStatisticsHigh-frequency trading
Full text
# Analysis of high-resolution foreign exchange data of USD-JPY for 13 years


# Analysis of high-resolution foreign exchange data of USD-JPY for 13 years









We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density analysis clearly shows the existence of trend-following movements at time scale of 8-ticks, about 1 minute.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.