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Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model

✍ Scribed by A.-H. Sato

Book ID: 111621797
Publisher: Springer
Year: 2006
Tongue: English
Weight: 167 KB
Volume: 50
Category: Article
ISSN: 1434-6036
DOI: 10.1140/epjb/e2006-00125-x

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High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/ SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the g