Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model

A.-H. Sato ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2006, vol. 50, issue 1, 137-140

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. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

Keywords: 89.65.Gh Economics; econophysics, financial markets, business and management, 87.15.Ya Fluctuations, 02.50.-r Probability theory, stochastic processes, and statistics, (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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DOI: 10.1140/epjb/e2006-00125-x

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