Physics – Data Analysis – Statistics and Probability
Scientific paper
2006-07-29
Physics
Data Analysis, Statistics and Probability
19 pages, 10 figures, APFA5
Scientific paper
10.1016/j.physa.2007.03.043
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Shannon divergence among them. The temporal structure variations of the similarity between currency pairs is detected and characterized. A simple agent-based model in which $N$ market participants exchange $M$ currency pairs is proposed. The equation for the tick frequency is approximately derived theoretically. Based on the analysis of this model, the spectral distance of the tick frequency is associated with the similarity of the behavior (perception and decision) of the market participants in exchanging these currency pairs.
No associations
LandOfFree
Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-365772