Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

摘要

We investigate quotation and transaction activities in the foreign exchangemarket for every week during the period of June 2007 to December 2010. Ascaling relationship between the mean values of number of quotations (or numberof transactions) for various currency pairs and the corresponding standarddeviations holds for a majority of the weeks. However, the scaling breaks insome time intervals, which is related to the emergence of market shocks. Thereis a monotonous relationship between values of scaling indices and globalaverages of currency pair cross-correlations when both quantities are observedfor various window lengths $\Delta t$.