Fluctuation scaling of quotation activities in the foreign exchange market

Aki-Hiro Sato, Maiko Nishimura and Janusz A. Hołyst

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 14, 2793-2804

Abstract: We study the scaling behavior of quotation activities for various currency pairs in the foreign exchange market. The components’ centrality is estimated from multiple time series and visualized as 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 the length of the observation time window Δt. The result means that although for Δt=1(min), the market dynamics are governed by specific processes, and at a longer time scale Δt>100(min) the common information flow becomes more important. We point out that quotation 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.

Keywords: Econophysics; The foreign exchange market; Power law scaling; Taylorism; Quotation activities (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:14:p:2793-2804

DOI: 10.1016/j.physa.2010.03.002

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