Characteristic periodicities of collective behavior at the foreign exchange market

A.-H. Sato () and J. A. Hołyst

The European Physical Journal B: Condensed Matter and Complex Systems, 2008, vol. 62, issue 3, 373-380

Abstract: As the result of empirical investigations into the foreign exchange market a group structure of characteristic periodic decisions of market participants is found. In order to explain this finding at the microscopic level the agent-based model of a financial market in which N market participants trade M financial commodities is considered. If different sources of periodic information exist then the relationship among these characteristic periodic behaviors may be associated with a special structure where market participants perceive such information in the foreign exchange market. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2008

Keywords: 02.50.-r Probability theory, stochastic processes, and statistics, 87.15.Ya Fluctuations, 89.65.Gh Economics; econophysics, financial markets, business and management, 89.75.Fb Structures and organization in complex systems, (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1140/epjb/e2008-00158-1

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