  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.
