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

Aki-Hiro Sato

Papers from arXiv.org

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.

Date: 2005-12, Revised 2006-06
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Citations: View citations in EconPapers (2)

Published in European Physical Journal B, Vol. 50 (2006) pp.137--140

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0512163

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