NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability

Yuko Hashimoto, Takatoshi Ito, Takaaki Ohnishi, Misako Takayasu, Hideki Takayasu, Tsutomu Watanabe

NBER Working Paper No. 14160
Issued in July 2008

---- Acknowledgements -----

The authors are grateful to EBS for their understanding the value of academic research and providing a proprietary data set for the academic purpose with few restrictions and a modest fee. Also, we are grateful to EBS analysts in New York for guidance on the nature of the data. Research support by JSPS Grants-in-aid for Scientific Research, (A) No. 20243014, is gratefully acknowledged. Comments at the Econometric Society European Meeting, Budapest, August 26-31, 2008 and Meetings of Statistics Association, September 8, 2007 are gratefully appreciated. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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