Timing matters in foreign exchange markets |
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| Authors: | Yoshito Hirata Kazuyuki Aihara |
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| Affiliation: | Institute of Industrial Science, The University of Tokyo, 4-6-1 Komaba, Meguro-ku, Tokyo 153-8505, Japan |
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| Abstract: | We show using nonlinear time series analysis that the timing of trades in foreign exchange markets has significant information. We apply a set of methods for analyzing point process data developed in neuroscience and nonlinear science. Our results imply that foreign exchange markets might be chaotic and have short-term predictability. |
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| Keywords: | Marked point process Distances Recurrence plots Prediction |
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