کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
979599 | 933371 | 2007 | 13 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach](/preview/png/979599.png)
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 NN market participants exchange MM 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.
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 258–270