Tick-Wise Predictions of Foreign Exchange Rates

Abstract

Tick-wise motions of foreign exchange rates are shown to be partly predictable, while daily price changes can be approximated by the random walk. We summarize several known facts on the tick-wise price changes in regard to the probability distribution functions, memory-depth of the time series, and so on, and discuss the possibility of predicting the direction of the next tick by using the evolutional computation that leams local values of conditional probabilities from non-stationary environment of the real tick data. © Springer-Verlag 2004.