Characteristic time scales of tick quotes on foreign currency
markets: an empirical study and agent-based model |
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| Authors: | A-H Sato |
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| Institution: | (1) Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan |
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| Abstract: | Power spectrum densities for the number of tick quotes per minute
(market activity) on three currency markets (USD/JPY, EUR/USD, and
JPY/EUR) for periods from January 1999 to December 2000 are
analyzed. We find some peaks on the power spectrum densities at a few
minutes. We develop the double-threshold agent model and confirm
that stochastic resonance occurs for the market activity of this model.
We propose a hypothesis that the periodicities found on the power spectrum
densities can be observed due to stochastic resonance. |
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| Keywords: | 89 65 Gh Economics econophysics financial markets business and management 87 15 Ya Fluctuations 02 50 -r Probability theory stochastic processes and statistics |
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