Fluctuation scaling of quotation activities in the foreign exchange market

概要

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We study the scaling behavior of quotation activities for various currency pairs in the foreign exchange market. The components’ centrality is estimated from multiple time series and visualized as a currency pair network. The power-law relationship between a mean of quotation activity and its standard deviation for each currency pair is found. The scaling exponent α and the ratio between common and specific fluctuations η increase with the length of the observation time window Δt. The result means that although for Δt=1(min), the market dynamics are governed by specific processes, and at a longer time scale Δt>100(min) the common information flow becomes more important. We point out that quotation activities are not independently Poissonian for Δt=1(min), and temporally or mutually correlated activities of quotations can happen even at this time scale. A stochastic model for the foreign exchange market based on a bipartite graph representation is proposed.
2010-07-15