Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach

被引：9

作者：

Sato, Aki-Hiro ^{[1
]}

机构：

[1] Kyoto Univ, Grad Sch Informat, Dept Appl Math & Phys, Kyoto 6068501, Japan

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 382卷 / 01期

关键词：

spectral distance; the foreign exchange market; agent-based modeling; tick frequency;

D O I：

10.1016/j.physa.2007.03.043

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/ SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibier divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Shannon divergence among them. The temporal structure variations of the similarity between currency pairs is detected and characterized. A simple agent-based model in which N market participants exchange M currency pairs is proposed. The equation for the tick frequency is approximately derived theoretically. Based on the analysis of this model, the spectral distance of the tick frequency is associated with the similarity of the behavior (perception and decision) of the market participants in exchanging these currency pairs. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：258 / 270

页数：13

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