Dynamical Structure of Behavioral Similarities of the Market Participants in the Foreign Exchange Market

  • Aki-Hiro Sato
  • Kohei Shintani
Part of the New Economic Windows book series (NEW)


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.


Discrete Fourier Transform Market Participant Foreign Exchange Market Instantaneous Phase Normalize Power Spectrum 


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. 1.
    Sato AH, Takayasu H (1998) Dynamical models of stock market exchanges: from microscopic determinism to macroscopic randomness, Physica A 250: 231–252.MATHCrossRefGoogle Scholar
  2. 2.
    Lux T, Marchesi M (1999) Scaling and criticality in a stochastic multi-agent model of a financial market, Nature 397: 498–500.CrossRefADSGoogle Scholar
  3. 3.
    Mantegna RN, Stanley HE (2000) An Introduction to Econophysics-Correlations and Complexity in Finance, Cambridge University Press, CambridgeGoogle Scholar
  4. 4.
    Dacorogna MM, Gençay R, Müller U, Olsen RB, Pictet OV (2000) An introduction to high-frequency finance, Academic Press, San Diego.Google Scholar
  5. 5.
    Takayasu H (2006) Ed. Practical Fruits of Econophysics, Springer-Verlag (Tokyo).CrossRefGoogle Scholar
  6. 6.
    Sato AH (2006) Frequency analysis of tick quotes on foreign currency markets and the double-threshold agent model, Physica A 369: 753–764CrossRefADSGoogle Scholar
  7. 7.
    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.CrossRefADSGoogle Scholar
  8. 8.
    The data are provided by CQG International Ltd.Google Scholar
  9. 9.
    The information is available at EBS homepage: http://www.ebs.com.
  10. 10.
    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.
  11. 11.
    Granovetter M (1978), Threshold models of collective behavior, The American Journal of Sociology, 83: 1420–1443.CrossRefGoogle Scholar

Copyright information

© Springer-Verlag Italia 2007

Authors and Affiliations

  • Aki-Hiro Sato
    • 1
  • Kohei Shintani
    • 1
  1. 1.Department of Applied Mathematics and Physics, Graduate School of InformaticsKyoto UniversityKyotoJapan

Personalised recommendations