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Understanding agent-based models of financial markets: A bottom–up approach based on order parameters and phase diagrams

✍ Scribed by Ribin Lye; James Peng Lung Tan; Siew Ann Cheong

Book ID
119347046
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
506 KB
Volume
391
Category
Article
ISSN
0378-4371

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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