We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed in [1,2]. Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease) ρ in the price of an investment. The analysis is performed for the Deutsch Mark (DM) against the $US for the full year of 1998, but similar results are obtained f...

In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1, 2, 3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of return obtained from detrended historic asset prices. Such a distribution typ...

We propose a new approach to linear ill-posed inverse problems. Our algorithm alternates between enforcing two constraints: the measurements and the statistical correlation structure in some transformed space. We use a non-linear multiscale scattering transform which discards the phase and thus exposes strong spectral correlations otherwise hidden beneath the phase fluctuations. As a result, bo...