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      Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model

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          Abstract

          Power spectrum densities for the number of tick quotes per minute (market activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods from January 1999 to December 2000 are analyzed. We find some peaks on the power spectrum densities at a few minutes. We develop the double-threshold agent model and confirm that stochastic resonance occurs for the market activity of this model. We propose a hypothesis that the periodicities found on the power spectrum densities can be observed due to stochastic resonance.

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          Author and article information

          Journal
          2005-12-19
          2006-06-08
          Article
          10.1140/epjb/e2006-00125-x
          physics/0512163
          ac4eed04-5573-4524-9b83-335c7661d9f3
          History
          Custom metadata
          European Physical Journal B, Vol. 50 (2006) pp.137--140
          4 pages, 7 figures
          physics.data-an q-fin.TR

          Mathematical & Computational physics
          Mathematical & Computational physics

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