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Characteristic periodicities of collective behavior at the foreign exchange market

  • Interdisciplinary Physics
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Abstract.

As the result of empirical investigations into the foreign exchange market a group structure of characteristic periodic decisions of market participants is found. In order to explain this finding at the microscopic level the agent-based model of a financial market in which N market participants trade M financial commodities is considered. If different sources of periodic information exist then the relationship among these characteristic periodic behaviors may be associated with a special structure where market participants perceive such information in the foreign exchange market.

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Authors and Affiliations

  1. Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto, 606-8501, Japan

    A.-H. Sato

  2. Faculty of Physics and Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, 00-662, Warsaw, Poland

    J. A. Hołyst

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  1. A.-H. Sato
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  2. J. A. Hołyst
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Correspondence to A.-H. Sato.

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Sato, AH., Hołyst, J. Characteristic periodicities of collective behavior at the foreign exchange market. Eur. Phys. J. B 62, 373–380 (2008). https://doi.org/10.1140/epjb/e2008-00158-1

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  • DOI: https://doi.org/10.1140/epjb/e2008-00158-1

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