TY  - BOOK
AU  - Hashimoto,Yuko
AU  - Ito,Takatoshi
AU  - Ohnishi,Takaaki
AU  - Takayasu,Misako
AU  - Takayasu,Hideki
AU  - Watanabe,Tsutomu
ED  - National Bureau of Economic Research.
TI  - Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability 
T2  - NBER working paper series
PY  - 2008///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - July 2008; Hardcopy version available to institutional subscribers
N2  - Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a "run" -- continuous increases or decreases in deal prices for the past several ticks -- does have some predictable information on the direction of the next price movement. Deal price movements, that are consistent with order flows, tend to continue a run once it started i.e., conditional probability of deal prices tend to move in the same direction as the last several times in a row is higher than 0.5. However, quote prices do not show such tendency of a run. Hence, a random walk hypothesis is refuted in a simple test of a run using the tick by tick data. In addition, a longer continuous increase of the price tends to be followed by larger reversal. The findings suggest that those market participants who have access to real-time, tick-by-tick transaction data may have an advantage in predicting the exchange rate movement. Findings here also lend support to the momentum trading strategy
UR  - https://www.nber.org/papers/w14160
UR  - http://dx.doi.org/10.3386/w14160
ER  -