Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Waiting time analysis of foreign currency exchange rates: Beyond the
  renewal-reward theorem   We evaluate the average waiting time between observing the price of financial
markets and the next price change, especially in an on-line foreign exchange
trading service for individual customers via the internet. Basic technical idea
of our present work is dependent on the so-called renewal-reward theorem.
Assuming that stochastic processes of the market price changes could be
regarded as a renewal process, we use the theorem to calculate the average
waiting time of the process. In the conventional derivation of the theorem, it
is apparently hard to evaluate the higher order moments of the waiting time. To
overcome this type of difficulties, we attempt to derive the waiting time
distribution Omega(s) directly for arbitrary time interval distribution (first
passage time distribution) of the stochastic process P_{W}(tau) and observation
time distribution P_{O}(t) of customers. Our analysis enables us to evaluate
not only the first moment (the average waiting time) but also any order of the
higher moments of the waiting time. Moreover, in our formalism, it is possible
to model the observation of the price on the internet by the customers in terms
of the observation time distribution P_{O}(t). We apply our analysis to the
stochastic process of the on-line foreign exchange rate for individual
customers from the Sony bank and compare the moments with the empirical data
analysis.

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The categories of this paper are: funct-an
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The categories of this paper are: gr-qc
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The categories of this paper are: econ
7
The categories of this paper are: hep-th
4
The categories of this paper are: cond-mat
37
The categories of this paper are: supr-con
23
The categories of this paper are: solv-int
6
The categories of this paper are: astro-ph
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The categories of this paper are: adap-org
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The categories of this paper are: acc-phys
2
The categories of this paper are: math
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The categories of this paper are: q-alg
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The categories of this paper are: chem-ph
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The categories of this paper are: hep-lat
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The categories of this paper are: q-bio
24
The categories of this paper are: dg-ga