Comprehensive analysis of market conditions in the foreign exchange market: Fluctuation scaling and variance-covariance matrix

Aki Hiro Sato; Takaki Hayashi; Janusz A. Hołyst

doi:10.1007/s11403-012-0089-2

Comprehensive analysis of market conditions in the foreign exchange market: Fluctuation scaling and variance-covariance matrix

Aki Hiro Sato
, Takaki Hayashi
, Janusz A. Hołyst

経営管理研究科

研究成果: Article › 査読

6 被引用数 (Scopus)

抄録

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths Δt.

本文言語	English
ページ（範囲）	167-179
ページ数	13
ジャーナル	Journal of Economic Interaction and Coordination
巻	7
号	2
DOI	https://doi.org/10.1007/s11403-012-0089-2
出版ステータス	Published - 2012 10月

ASJC Scopus subject areas

ビジネスおよび国際経営
経済学、計量経済学

文献へのアクセス

10.1007/s11403-012-0089-2

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引用スタイル

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note = "Funding Information: Acknowledgments This work was supported by the Grant-in-Aid for Young Scientists (B) by Japan Society for the Promotion of Science (JSPS) KAKENHI (\#23760074) (A.-H. Sato). It was also financially supported by the Japan Securities Scholarship Foundation (T. Hayashi). This was also supported by the European COST Action MP0801 Physics of Competition and Conflicts and by the Polish Ministry of Science Grant 578/N-COST/2009/0 (J.A. Holyst).",

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