Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto, 606-8501, Japan
Corresponding author: a firstname.lastname@example.org
Revised: 5 December 2005
Published online: 12 April 2006
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.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 87.15.Ya – Fluctuations / 02.50.-r – Probability theory, stochastic processes, and statistics
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2006