Fluctuation scaling of quotation activities in the foreign exchange market
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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
論文 | ランダム
- 日本語のさまざまなアスペクト体系が提起するもの (特集 これからのアスペクト研究)
- 異言語接触と江戸言語学
- 第二言語習得における「授業」と「言語接触」の影響についての考察 : 日本語文末表現の使用に関する内省アンケート調査をもとに
- 言語接触かドリフトか : 河湟語の場合
- 『令集解』の助字(西学東漸と言語接触の研究, 言語研究班, 研究員の研究概要)