Characteristic periodicities of collective behavior at the foreign exchange market

Authored by A. -H. Sato, J. A. Holyst

Date Published: 2008-04

DOI: 10.1140/epjb/e2008-00158-1

Sponsors: Grant-in-Aid for Scientific Research from the Ministry of Education, Culture, Sports, Science and Technology of Japan Polish Ministry of Science and Higher Education

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

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.

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