Fluctuation scaling of quotation activities in the foreign exchange market |
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Authors: | Aki-Hiro Sato Maiko Nishimura |
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Affiliation: | a Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan b Faculty of Physics, Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland |
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Abstract: | We study the scaling behavior of quotation activities for various currency pairs in the foreign exchange market. The components’ centrality is estimated from multiple time series and visualized as a currency pair network. The power-law relationship between a mean of quotation activity and its standard deviation for each currency pair is found. The scaling exponent α and the ratio between common and specific fluctuations η increase with the length of the observation time window . The result means that although for , the market dynamics are governed by specific processes, and at a longer time scale the common information flow becomes more important. We point out that quotation activities are not independently Poissonian for , and temporally or mutually correlated activities of quotations can happen even at this time scale. A stochastic model for the foreign exchange market based on a bipartite graph representation is proposed. |
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Keywords: | Econophysics The foreign exchange market Power law scaling Taylorism Quotation activities |
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