Skip to main content
SpringerLink
Log in

Characteristic periodicities of collective behavior at the foreign exchange market

  • Interdisciplinary Physics
  • Published:
The European Physical Journal B Aims and scope Submit manuscript

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Y. Kuramoto, Chemical Oscillations, Waves, and Turbulence (Springer-Verlag, Berlin, 1984)

  • J. Teramae, D. Tanaka, Phys. Rev. Lett. 93, 204103 (2004)

    Article  ADS  Google Scholar 

  • H. Nakao, K. Arai, K. Nagai, Y. Tsubo, Y. Kuramoto, Phys. Rev. E. 72, 026220 (2005)

    Article  ADS  MathSciNet  Google Scholar 

  • M. Hase, S.N. Watanabe, K. Yoshikawa, Phys. Rev. E 74, 046301 (2006)

    Article  ADS  Google Scholar 

  • H.-A. Tanaka, A.J. Lichtenberg, S. Oishi, Phys. Rev. Lett. 78, 2104 (1997)

    Article  ADS  Google Scholar 

  • K. Wiesenfeld, P. Colet, S.H. Strogatz, Phys. Rev. Lett. 76, 404 (1996)

    Article  ADS  Google Scholar 

  • Z. Zheng, G. Hu, B. Hu, Phys. Rev. Lett. 81, 5318 (1998)

    Article  ADS  Google Scholar 

  • K. Kitajo, D. Nozaki, L.M. Ward, Y. Yamamoto, Phys. Rev. Lett. 90, 218103 (2003)

    Article  ADS  Google Scholar 

  • D. Helbing, M. Schonhof, H.-U. Stark, J.A. Hołyst, Adv. Complex Syst. 8, 87 (2005)

    Article  MATH  MathSciNet  Google Scholar 

  • R. Benzi, A. Sutera, A. Vulpiani, J. Phys. A 14, L453 (1981)

  • B. McNamara, K. Wiesenfeld, R. Roy, Phys. Rev. Lett. 60, 2626 (1988)

    Article  ADS  Google Scholar 

  • M.D. McDonnell, N.G. Stocks, C.E.M. Pearce, Phys. Lett. A 352, 183 (2006)

    Article  ADS  Google Scholar 

  • C. Kittel, Quantum Theory of Solids (John Wiley & Sons Inc, New York, 1987)

  • P. Saha, S. Banerjee, A.R. Chowdhury, Chaos 14, 1083 (2002)

    MATH  MathSciNet  Google Scholar 

  • T. Kuruvilla, V.M. Nandakumaran, Phys. Lett. A 254, 59 (1999)

    Article  ADS  Google Scholar 

  • C.M. Gray, D.A. McCormick, Science 274, 109 (1996)

    Article  ADS  Google Scholar 

  • A. Fisahn, F.G. Pike, E.H. Buhl, O. Paulsen, Nature 394, 186 (1998)

    Article  ADS  Google Scholar 

  • C.L. Witham, S.N. Baker, J. Phys. 580, 801 (2007)

    Article  Google Scholar 

  • G. Hu, Z.D. Zhang, Chem. Lett. 35, 1154 (2006)

    Article  Google Scholar 

  • D. Helbing, R. Jiang, M. Treiber, Phys. Rev. E 72, 046130 (2005)

    Article  ADS  Google Scholar 

  • J.H. Ellis, Ahead of the Curve: A Commonsense Guide to Forecasting Business and Market Cycles (Harvard Business School Press, Harvard, 2005)

  • N. Vandewalle, M. Ausloos, P. Boveroux, A. Minguet, Eur. Phys. J. B 9, 355 (1999)

    Article  ADS  MathSciNet  Google Scholar 

  • D. Sornette, A. Johansen, Quant. Finance 1, 452 (2001)

    Article  Google Scholar 

  • A. Pikovsky, M. Rosenblum, J. Kurths, Synchronization: A Universal Concept in Nonlinear Sciences (Cambridge University Press, Cambridge, 2003)

  • T.C. Bradbury, Theoretical Mechanics (John Weley & Sons, Inc., New York, 1968)

  • L. Gammaitoni, P. Hanggi, P. Jung, Rev. Mod. Phys. 70, 223 (1998)

    Article  ADS  Google Scholar 

  • U. Will, E. Berg, Neuroscience Letters 424, 55 (2007)

    Article  Google Scholar 

  • W. Klimecsh, Brain Res. Rev. 29, 169 (1999)

    Article  Google Scholar 

  • B. Bein, Best Practice & Research Clinical Anaesthesiology 20, 101 (2006)

    Article  Google Scholar 

  • R. Mantegna, H.E. Stanley, An Introduction to Econophysics Correlations and Complexity in Finance (Cambridge University Press, Cambridge, 2000)

  • H. Takayasu, Practical Fruits of Econophysics (Springer-Verlag, Tokyo, 2006)

  • M.M. Dacorogna, R. Gençay, U. Müller, R.B. Olsen, O.V. Pictet, An introduction to high-frequency finance (Academic Press, San Diego, 2000)

  • A. Krawiecki, J.A. Hołyst, Physica A 317 597 (2003)

    Google Scholar 

  • A.-H. Sato, Physica A 369, 753 (2006)

    Article  ADS  Google Scholar 

  • A.-H. Sato, J. Oshiro, J. Phys. Soc. Jap. 75, 084005 (2006)

    Article  ADS  Google Scholar 

  • The data are provided by CQG Inc.

  • J.J. Collins, C.C. Chow, T.T. Imhoff, Nature (London) 376, 236 (1995)

    Article  ADS  Google Scholar 

  • J. Weinberg, Becoming a technical leader (Dorset House Publishing, New York, 1986)

  • M. Granovetter, Am. J. Soc. 83, 1420 (1978)

    Article  Google Scholar 

  • J.L. CcCauley, Dynamics of Markets (Cambridge University Press, Cambridge, 2004)

  • L.L. Thurstone, in Methods of Psychology, edited by T.G. Andrews (Wiley, New York, 1948), p. 124; The measurement of Values (University of Chicago Press, Chicago, 1959)

  • S. Zhong, H. Xiu, Chem. Phys. Lett. 333, 133 (2001)

    Article  ADS  Google Scholar 

  • X. Zhang, W. Xu, Physica A 385, 95 (2007)

    Article  ADS  Google Scholar 

  • F. Chapeau-Blondeau, D. Rousseau, Phys. Lett. A 351, 231 (2006)

    Article  ADS  Google Scholar 

  • A.-H. Sato, M. Ueda, T. Munakata, Phys. Rev. E 70, 021106 (2004)

    Article  ADS  Google Scholar 

Download references

Author information

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

Authors
  1. A.-H. Sato
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. J. A. Hołyst
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to A.-H. Sato.

Rights and permissions

Reprints and permissions

About this article

Cite this article

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

Download citation

  • Received:

  • Published:

  • Issue Date:

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

PACS.

Search

Navigation