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Comprehensive analysis of market conditions in the foreign exchange market

  • Aki-Hiro Sato

    ()

  • Takaki Hayashi

    ()

  • Janusz Hołyst

    ()

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    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 Δ t. Copyright Springer-Verlag 2012

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    File URL: http://hdl.handle.net/10.1007/s11403-012-0089-2
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    Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 7 (2012)
    Issue (Month): 2 (October)
    Pages: 167-179

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    Handle: RePEc:spr:jeicoo:v:7:y:2012:i:2:p:167-179
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