Berlin 2012 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 2: Financial Markets and Risk Management I

SOE 2.4: Talk

Monday, March 26, 2012, 10:30–10:45, H 0110

Comprehensive analysis of market conditions in the foreign exchange market: Fluctuation scaling and variance-covariance matrix — •Aki-Hiro Sato¹ and Janusz Holyst² — ¹Graduate School of Informatics, Kyoto University, Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501, JAPAN — ²Faculty of Physics and Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662, Warsaw, POLAND

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2011. A scaling relationship between the mean values of quotations numbers (or transactions numbers) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths Δ t.