Comprehensive analysis of market conditions in the foreign exchange market

Aki-Hiro Sato (), Takaki Hayashi () and Janusz Hołyst ()

Journal of Economic Interaction and Coordination, 2012, vol. 7, issue 2, 167-179

Abstract: 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 Δ t. Copyright Springer-Verlag 2012

Keywords: Foreign exchange market; Fluctuation scaling; Scaling breaking; Global average of cross-correlations (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11403-012-0089-2

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