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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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  • Aki-Hiro 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.

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  • Aki-Hiro Sato, 2005. "Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model," Papers physics/0512163, arXiv.org, revised Jun 2006.
  • Handle: RePEc:arx:papers:physics/0512163
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    1. 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.
    2. A. Christian Silva & Ju-Yi J. Yen, 2008. "Stochastic resonance and the trade arrival rate of stocks," Papers 0807.0925, arXiv.org.

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