dorsal/arxiv
View SchemaFrequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach
| Authors | Aki-Hiro Sato |
|---|---|
| Categories | |
| ArXiv ID | physics/0607273 |
| URL | https://arxiv.org/abs/physics/0607273 |
| DOI | 10.1016/j.physa.2007.03.043 |
Abstract
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 generalized Jensen-Shannon divergence among them. The temporal structure variations of the similarity between currency pairs is detected and characterized. A simple agent-based model in which $N$ market participants exchange $M$ currency pairs is proposed. The equation for the tick frequency is approximately derived theoretically. Based on the analysis of this model, the spectral distance of the tick frequency is associated with the similarity of the behavior (perception and decision) of the market participants in exchanging these currency pairs.
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"abstract": "High-frequency financial data of the foreign exchange market (EUR/CHF,\nEUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF,\nUSD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler\ndivergence between two normalized spectrograms of the tick frequency and the\ngeneralized Jensen-Shannon divergence among them. The temporal structure\nvariations of the similarity between currency pairs is detected and\ncharacterized. A simple agent-based model in which $N$ market participants\nexchange $M$ currency pairs is proposed. The equation for the tick frequency is\napproximately derived theoretically. Based on the analysis of this model, the\nspectral distance of the tick frequency is associated with the similarity of\nthe behavior (perception and decision) of the market participants in exchanging\nthese currency pairs.",
"arxiv_id": "physics/0607273",
"authors": [
"Aki-Hiro Sato"
],
"categories": [
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.03.043",
"title": "Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach",
"url": "https://arxiv.org/abs/physics/0607273"
},
"schema_id": "dorsal/arxiv",
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