Comprehensive analysis of market conditions in the foreign exchange market

被引：6

作者：

Sato, Aki-Hiro ^{[1
]}

Hayashi, Takaki ^{[2
]}

Holyst, Janusz A. ^{[3
]}

机构：

[1] Kyoto Univ, Grad Sch Informat, Sakyo Ku, Kyoto 6068501, Japan

[2] Keio Univ, Grad Sch Business Adm, Yokohama, Kanagawa 2238526, Japan

[3] Warsaw Univ Technol, Ctr Excellence Complex Syst Res, Fac Phys, PL-00662 Warsaw, Poland

来源：

JOURNAL OF ECONOMIC INTERACTION AND COORDINATION | 2012年 / 7卷 / 02期

关键词：

Foreign exchange market; Fluctuation scaling; Scaling breaking; Global average of cross-correlations; FINANCIAL-MARKETS; PRICE; RATES; VARIANCE; NETWORKS; VOLUME; STOCK; MODEL; FLOW;

D O I：

10.1007/s11403-012-0089-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 Delta t.

引用

页码：167 / 179

页数：13

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