Abstract
The financial markets started to be computerized due to development and spread of the Information and Communication Technology (ICT) in early 1990s. As the result rapid development and spread of electrical trading systems occurred all over the world. Moreover advance of processing speed of computers and capacity of storages leads to accumulation of activity records of market participants, high frequency financial data. By utilizing the high frequency financial data one can observe behavior of the market participants with high resolutions and analyze a large amount of data enough to quantify them in the statistically significant.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Sato AH, Takayasu H (1998) Dynamical models of stock market exchanges: from microscopic determinism to macroscopic randomness, Physica A 250: 231–252.
Lux T, Marchesi M (1999) Scaling and criticality in a stochastic multi-agent model of a financial market, Nature 397: 498–500.
Mantegna RN, Stanley HE (2000) An Introduction to Econophysics-Correlations and Complexity in Finance, Cambridge University Press, Cambridge
Dacorogna MM, Gençay R, Müller U, Olsen RB, Pictet OV (2000) An introduction to high-frequency finance, Academic Press, San Diego.
Takayasu H (2006) Ed. Practical Fruits of Econophysics, Springer-Verlag (Tokyo).
Sato AH (2006) Frequency analysis of tick quotes on foreign currency markets and the double-threshold agent model, Physica A 369: 753–764
Sato AH (2006) Characteristic time scales of tick quotes on foreign currency markets: empirical study and agent-based model, European Physical Journal B, 50: 137–140.
The data are provided by CQG International Ltd.
The information is available at EBS homepage: http://www.ebs.com.
Sato AH (2006) Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach, http://arxiv.org/abs/physics/0607273.
Granovetter M (1978), Threshold models of collective behavior, The American Journal of Sociology, 83: 1420–1443.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2007 Springer-Verlag Italia
About this chapter
Cite this chapter
Sato, AH., Shintani, K. (2007). Dynamical Structure of Behavioral Similarities of the Market Participants in the Foreign Exchange Market. In: Chatterjee, A., Chakrabarti, B.K. (eds) Econophysics of Markets and Business Networks. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-0665-2_8
Download citation
DOI: https://doi.org/10.1007/978-88-470-0665-2_8
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-0664-5
Online ISBN: 978-88-470-0665-2
eBook Packages: Physics and AstronomyPhysics and Astronomy (R0)