A characteristic time scale in dollar–yen exchange rates

Here we analyze tick data of yen–dollar exchange using random walk methods. We find that there exists a characteristic time scale approximately at 10 min. According to the results at time scales shorter than 10 min, the market exhibits anti-persistence meaning that it self-organizes so as to restore a given tendency. For time scales longer than 10 min the market approaches a behavior appropriate to pure Brownian motion.