@article{5c9ad875bd0f40a48d597e09cf370179,
title = "Comprehensive analysis of market conditions in the foreign exchange market: Fluctuation scaling and variance-covariance matrix",
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.",
keywords = "Fluctuation scaling, Foreign exchange market, Global average of cross-correlations, Scaling breaking",
author = "Sato, {Aki Hiro} and Takaki Hayashi and Ho{\l}yst, {Janusz A.}",
note = "Funding Information: Acknowledgments This work was supported by the Grant-in-Aid for Young Scientists (B) by Japan Society for the Promotion of Science (JSPS) KAKENHI (#23760074) (A.-H. Sato). It was also financially supported by the Japan Securities Scholarship Foundation (T. Hayashi). This was also supported by the European COST Action MP0801 Physics of Competition and Conflicts and by the Polish Ministry of Science Grant 578/N-COST/2009/0 (J.A. Holyst).",
year = "2012",
month = oct,
doi = "10.1007/s11403-012-0089-2",
language = "English",
volume = "7",
pages = "167--179",
journal = "Journal of Economic Interaction and Coordination",
issn = "1860-711X",
publisher = "Springer Verlag",
number = "2",
}