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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| Affiliation: | (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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