Fluctuation scaling of quotation activities in the foreign exchange market

Aki-Hiro Sato 1Maiko Nishimura 1Janusz A. Hołyst 2

1. Kyoto University, Kyoto 606-8501, Japan
2. Warsaw University of Technology, Centre of Excellence for Complex Systems Research, Koszykowa 75, Warszawa 00-662, Poland

Abstract

We study  scaling behavior of quotation activities for various currency pairs at  foreign exchange market.  The components' centrality is estimated from multiple
time series and visualized at 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  length of the observation time window Δt. The result means that  although for Δt =1 [min] the market dynamics is governed by internal processes, at longer time scale Δt >100 [min] the information flow from outside becomes more important. We point out that quotations activities are not independently Poissonian for Δt=1 [min], 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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Presentation: Oral at 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Janusz A. Hołyst
See On-line Journal of 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2009-03-04 11:21
Revised:   2009-06-07 00:48