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

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  • A.-H. Sato

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. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

Suggested Citation

  • A.-H. Sato, 2006. "Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 50(1), pages 137-140, March.
  • Handle: RePEc:spr:eurphb:v:50:y:2006:i:1:p:137-140
    DOI: 10.1140/epjb/e2006-00125-x
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    Cited by:

    1. A. Christian Silva & Ju-Yi J. Yen, 2008. "Stochastic resonance and the trade arrival rate of stocks," Papers 0807.0925, arXiv.org.
    2. Sato, Aki-Hiro, 2007. "Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 258-270.

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