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A model of complex behavior of interbank exchange markets

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  • Suzuki, Tomoya
  • Ikeguchi, Tohru
  • Suzuki, Masuo

Abstract

In the present paper, we analyze the complex interaction among three macroscopic variables, dealing time intervals, spreads between ask and bid prices and price movements, observed in actual interbank exchange markets. For this analysis, we propose a new model of interbank exchange dealings as a statistical system integrated by many dealers’ actions with the methods of statistical physics. For evaluating the plausibility of our model, we compare outputs from the proposed model with the real data by reconstructing a state space with the above three variables, observing ensemble behavior in each day and estimating statistical properties. As a result, we can confirm that our model is plausible, and we perform the above analysis with our model from the viewpoint of statistical physics.

Suggested Citation

  • Suzuki, Tomoya & Ikeguchi, Tohru & Suzuki, Masuo, 2004. "A model of complex behavior of interbank exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 196-218.
    • Handle: RePEc:eee:phsmap:v:337:y:2004:i:1:p:196-218
    DOI: 10.1016/j.physa.2004.01.036
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    References listed on IDEAS

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    6. Suzuki, Tomoya & Ikeguchi, Tohru & Suzuki, Masuo, 2003. "Multivariable nonlinear analysis of foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 591-600.
    7. Vasiliki Plerou & Luís A. Nunes Amaral & Parameswaran Gopikrishnan & Martin Meyer & H. Eugene Stanley, 1999. "Similarities between the growth dynamics of university research and of competitive economic activities," Nature, Nature, vol. 400(6743), pages 433-437, July.
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    Cited by:

    1. Anca Gheorghiu & Ion Sp^anulescu, 2011. "Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009," Papers 1101.4674, arXiv.org.
    2. Anca Gheorghiu & Ion Spanulescu, 2009. "Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions," Papers 0907.5600, arXiv.org.

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