Comprehensive analysis of market conditions in the foreign exchange market: Fluctuation scaling and variance-covariance matrix

Aki Hiro Sato, Takaki Hayashi, Janusz A. Hołyst

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths Δt.

Original languageEnglish
Pages (from-to)167-179
Number of pages13
JournalJournal of Economic Interaction and Coordination
Volume7
Issue number2
DOIs
Publication statusPublished - 2012 Oct

Fingerprint

Fluctuations
Foreign exchange market
Market conditions
Covariance matrix
Scaling
Currency
Standard deviation
Relationship value
Cross-correlation

Keywords

  • Fluctuation scaling
  • Foreign exchange market
  • Global average of cross-correlations
  • Scaling breaking

ASJC Scopus subject areas

  • Economics and Econometrics
  • Business and International Management

Cite this

Comprehensive analysis of market conditions in the foreign exchange market : Fluctuation scaling and variance-covariance matrix. / Sato, Aki Hiro; Hayashi, Takaki; Hołyst, Janusz A.

In: Journal of Economic Interaction and Coordination, Vol. 7, No. 2, 10.2012, p. 167-179.

Research output: Contribution to journalArticle

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