Nonlinear modeling of exchange markets on the basis of volatilities and spreads

摘要

The interbank exchange dealing differs from the stock dealing, because the former has the rule of "Two Way Quotation" that a hank must quote offer and bid prices to the other bank simultaneously. Recently, to consider the universality of dealing actions, many dealing models do not separate the exchange dealing from the stock dealing by describing their behavior as same as dealing prices. In this paper, we propose a model of the interbank exchange dealing, which incorporates the interval time and the spread between offer and bid prices, in order to discuss the mechanism of the markets. Moreover, we compare the outputs from the proposed model with the real data, and show the plausibility of the model.