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 marke t 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. (C) 2001 Published by Else vier Science B.V.