https://doi.org/10.1140/epjb/e2008-00158-1
Characteristic periodicities of collective behavior at the foreign exchange market
1
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto, 606-8501, Japan
2
Faculty of Physics and Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland
Corresponding author: a aki@ikyoto-u.ac.jp
Received:
15
June
2007
Revised:
22
March
2008
Published online:
19
April
2008
As the result of empirical investigations into the foreign exchange market a group structure of characteristic periodic decisions of market participants is found. In order to explain this finding at the microscopic level the agent-based model of a financial market in which N market participants trade M financial commodities is considered. If different sources of periodic information exist then the relationship among these characteristic periodic behaviors may be associated with a special structure where market participants perceive such information in the foreign exchange market.
PACS: 02.50.-r – Probability theory, stochastic processes, and statistics / 87.15.Ya – Fluctuations / 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.75.Fb – Structures and organization in complex systems
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2008
