Application of spectral methods for high-frequency financial data to quantifying states of market participants

Aki-Hiro Sato

Papers from arXiv.org

Abstract: Empirical analysis of the foreign exchange market is conducted based on methods to quantify similarities among multi-dimensional time series with spectral distances introduced in [A.-H. Sato, Physica A, 382 (2007) 258--270]. As a result it is found that the similarities among currency pairs fluctuate with the rotation of the earth, and that the similarities among best quotation rates are associated with those among quotation frequencies. Furthermore it is shown that the Jensen-Shannon spectral divergence is proportional to a mean of the Kullback-Leibler spectral distance both empirically and numerically. It is confirmed that these spectral distances are connected with distributions for behavioral parameters of the market participants from numerical simulation. This concludes that spectral distances of representative quantities of financial markets are related into diversification of behavioral parameters of the market participants.

Date: 2007-09
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/0709.1530 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0709.1530

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().