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High-Frequency Data Analysis of Foreign Exchange Markets

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Applications of Data-Centric Science to Social Design

Part of the book series: Agent-Based Social Systems ((ABSS,volume 14))

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Abstract

This chapter investigates the quotation/transaction activities of foreign exchange markets as an observable example of man–machine collective human behavior and examines its states based on the 1-s resolution data for the period between June 2007 and June 2011. To describe the characteristics of trading activities, a simple multivariate Poisson model for both the quotation and transaction activities of the foreign exchange market is proposed. Further, a method to calibrate model parameters from actual observations is discussed. It is concluded that a fluctuation coefficient of the common mode may be a summary index assessing the collective behavior of market participants.

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Notes

  1. 1.

    USD: US Dollar, CHF: Swiss Franc, EUR: European Union Euro, JPY: Japanese Yen, NZD: New Zealand Dollar, AUD: Australian Dollar, GBP: British Pound, CAD: Canadian Dollar, XAU: Gold, XAG: Silver, SEK: Swedish Krona, XPD: Palladium, XPT: Platinum, SGD: Singapore Dollar, HKD: Hong Kong Dollar, NOK: Norway Krona, ZAR: South African Rand, MXN: Mexico Peso, DKK: Danish Krone, CZK: Czech Koruna, TRY: Turkish Lira, and RUB: Russian Ruble.

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Acknowledgements

This work was supported by the Grant-in-Aid for Young Scientists (B) by the Japan Society for the Promotion of Science (JSPS) KAKENHI (#23760074). The author further expresses his sincere gratitude to Prof. Dr. Janusz A. Hoyst from Warsaw University of Technology for his stimulating advice.

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Authors and Affiliations

  1. Yokohama City University, Kanazawa-ku, Yokohama-shi, Kanagawa, Japan

    Aki-Hiro Sato

  2. Japan Science and Technology Agency PRESTO, Kawaguchi-shi, Saitama, Japan

    Aki-Hiro Sato

  3. Statistical Research and Training Institute, Ministry of Internal Affairs and Communications, Shinjuku-ku, Tokyo, Japan

    Aki-Hiro Sato

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  1. Aki-Hiro Sato
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Correspondence to Aki-Hiro Sato .

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  1. Yokohama City University, Kanazawa-ku, Yokohama-shi, Kanagawa, Japan

    Aki-Hiro Sato

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Sato, AH. (2019). High-Frequency Data Analysis of Foreign Exchange Markets. In: Sato, AH. (eds) Applications of Data-Centric Science to Social Design. Agent-Based Social Systems, vol 14. Springer, Singapore. https://doi.org/10.1007/978-981-10-7194-2_15

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