Abstract
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) 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.
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Sato, AH., Hayashi, T. & Hołyst, J.A. Comprehensive analysis of market conditions in the foreign exchange market. J Econ Interact Coord 7, 167–179 (2012). https://doi.org/10.1007/s11403-012-0089-2
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DOI: https://doi.org/10.1007/s11403-012-0089-2