二值化高频财务数据分析
Analysis of Binarized High Frequency Financial Data
摘要：
从极高频数据（例如美元/日元的逐点数据）的上涨/下跌价格变动中提取的二进制数据中，非平凡的概率结构是显而易见的。在本文中，我们分析了索尼银行美元/日元汇率，忽略了市场价格的小偏差。然后，我们发现有一个类似的非平凡的概率结构，在索尼银行利率，尽管索尼银行利率的有较低的频率和较大的偏差比滴答滴答的数据。然而，在以与索尼银行利率相同的速率从逐点数据中采样的数据中没有发现这种概率结构。因此，从市场利率生成索尼银行利率的方法具有实际应用的潜力，因为该方法随着采样频率的降低而保持概率结构。
英文摘要：
A non-trivial probability structure is evident in the binary data extracted from the up/down price movements of very high frequency data such as tick-by-tick data for USD/JPY. In this paper, we analyze the Sony bank USD/JPY rates, ignoring the small deviations from the market price. We then show there is a similar non-trivial probability structure in the Sony bank rate, in spite of the Sony bank rate's having less frequent and larger deviations than tick-by-tick data. However, this probability structure is not found in the data which has been sampled from tick-by-tick data at the same rate as the Sony bank rate. Therefore, the method of generating the Sony bank rate from the market rate has the potential for practical use since the method retains the probability structure as the sampling frequency decreases.
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