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The European Physical Journal B

, Volume 62, Issue 3, pp 373–380 | Cite as

Characteristic periodicities of collective behavior at the foreign exchange market

  • A.-H. Sato
  • J. A. Hołyst
Interdisciplinary Physics

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.

PACS.

02.50.-r Probability theory, stochastic processes, and statistics 87.15.Ya Fluctuations 89.65.Gh Economics; econophysics, financial markets, business and management 89.75.Fb Structures and organization in complex systems 

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Copyright information

© EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2008

Authors and Affiliations

  1. 1.Department of Applied Mathematics and PhysicsGraduate School of Informatics, Kyoto UniversityKyotoJapan
  2. 2.Faculty of Physics and Center of Excellence for Complex Systems Research, Warsaw University of TechnologyWarsawPoland

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