Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model

摘要

Power spectrum densities for the number of tick quotes per minute (marketactivity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periodsfrom January 1999 to December 2000 are analyzed. We find some peaks on thepower spectrum densities at a few minutes. We develop the double-thresholdagent model and confirm that stochastic resonance occurs for the marketactivity of this model. We propose a hypothesis that the periodicities found onthe power spectrum densities can be observed due to stochastic resonance.