Similarity, Clustering, and Scaling Analyses for the Foreign Exchange Market : Comprehensive Analysis on States of Market Participants with High-Frequency Financial Data(Financial and Consumer Markets,Econophysics-Physical Approach to Social and Economic
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概要
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This article proposes mathematical methods to quantify states of market participants in the foreign exchange market (FX market) and conduct comprehensive analysis on behavior of market participants by means of high-frequency financial data. Based on econophysics tools and perspectives we study similarity measures for both rate movements and quotation activities among various currency pairs. We perform also clustering analysis on market states for observation days, and find scaling relationship between mean values of quotation activities and their standard deviations. Using these mathematical methods we can visualize states of the FX market comprehensively. Finally we conclude that states of market participants temporally vary due to both external and internal factors.
- 2009-05-22
著者
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SATO Aki-Hiro
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University
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SAKAI Hiroshi
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University
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NISHIMURA Maiko
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University
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HOLYST Janusz
Faculty of Physics and Center of Excellence for Complex Systems Research, Warsaw University of Techn
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Holyst Janusz
Faculty Of Physics And Center Of Excellence For Complex Systems Research Warsaw University Of Techno
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Sato Aki-hiro
Department Of Applied Mathematics And Physics Graduate School Of Informatics Kyoto University
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Nishimura Maiko
Department Of Applied Mathematics And Physics Graduate School Of Informatics Kyoto University
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Sakai Hiroshi
Department Of Agricultural Chemistry The University Of Tokyo
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