J Econ Interac Coord (2008) 3:99–106 DOI 10.1007/s11403-008-0033-7 REGULAR ARTICLE Dynamics of quote and deal prices in the foreign exchange market Takaaki Ohnishi · Hideki Takayasu · Takatoshi Ito · Yuko Hashimoto · Tsutomu Watanabe · Misako Takayasu Published online: 27 March 2008 © Springer-Verlag 2008 Abstract We empirically investigate price fluctuations of yen-dollar exchange rate using the high-frequency data recorded in the electronic broking system for seven-year period. The distribution of quote price changes has symmetric fat-tails approximated by a power law; however, that of deal price is asymmetrical. The autocorrelation func- tion and diffusion of price changes indicate that quote price exhibits anti-correlation feature in short time scale, whereas deal price is essentially uncorrelated. The bid-ask T. Ohnishi (B ) Graduate School of Law and Politics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo 113-0033, Japan e-mail: ohnishi@sat.t.u-tokyo.ac.jp H. Takayasu Sony Computer Science Laboratories, 3-14-13 Higashigotanda, Shinagawa-ku, Tokyo 141-0022, Japan T. Ito Faculty of Economics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo 113-0033, Japan Y. Hashimoto Faculty of Economics, Toyo University, 5-28-20 Hakusan, Bunkyo-ku, Tokyo 112-8606, Japan T. Watanabe Institute of Economic Research, Hitotsubashi University, 2-1 Naka, Kunitachi-city, Tokyo 186-8603, Japan M. Takayasu Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259-G3-52 Nagatsuta-cho, Midori-ku, Yokohama 226-8502, Japan 123