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Comprehensive analysis of market conditions in the foreign exchange market

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  • Aki-Hiro Sato
  • Takaki Hayashi
  • Janusz Hołyst

Abstract

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

Suggested Citation

  • Aki-Hiro Sato & Takaki Hayashi & Janusz Hołyst, 2012. "Comprehensive analysis of market conditions in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 167-179, October.
    • Handle: RePEc:spr:jeicoo:v:7:y:2012:i:2:p:167-179
    DOI: 10.1007/s11403-012-0089-2
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