Analysis of high-resolution foreign exchange data of USD-JPY for 13 years

Mizuno, Takayuki; Kurihara, Shoko; Takayasu, Misako; Takayasu, Hideki

doi:10.1016/s0378-4371(02)01881-2

Cited by 55 publications

(40 citation statements)

References 7 publications

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“…Several studies try to model this market and access those dependences [3][4][5]. However there are no studies on the influence structure in this market and the time evolution of the dependences.…”

Section: Introductionmentioning

confidence: 99%

Influence Networks in the Foreign Exchange Market

Sousa

Takayasu

2015

Proceedings of the International Conference on Social Modeling and Simulation, Plus Econophysics Colloquium 2014

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The Foreign Exchange Market is a market for the trade of currencies and it defines their relative values. The study of the interdependence and correlation between price fluctuations of currencies is important to understand this market. For this purpose, in this work we search for the dependence between the time series of prices for pairs of currencies using a mutual information approach. By applying time shifts we are able to detect time delay in the dependence, what enable us to construct a directed network showing the influence structure of the market. Finally, we obtain a dynamic description of this structure by analyzing the time evolution of the network. Since the period of analysis includes the great earthquake in Japan in 2011, we can observe how such big events affect the network.

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Section: Introductionmentioning

confidence: 99%

Influence Networks in the Foreign Exchange Market

Sousa

Takayasu

2015

Proceedings of the International Conference on Social Modeling and Simulation, Plus Econophysics Colloquium 2014

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“…Power laws are an important characteristic in the fractal structure. For example, some studies found that the size distribution of asset price fluctuations follows power law Mantegna and Stanley (2000), Mizuno et al (2003). In addition, it is shown that firm size distribution (e.g., the distribution of sales across firms) also follows power law Stanley et al (1995), Axtell (2001), Okuyama et al (1999), Mizuno et al (2012), Clementi and Gallegati (2016).…”

Section: Introductionmentioning

confidence: 99%

Power laws in market capitalization during the dot-com and Shanghai bubble periods

Mizuno

Ohnishi

Watanabe

2016

Evolut Inst Econ Rev

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The distributions of market capitalization across stocks listed in the NASDAQ and Shanghai stock exchanges have power law tails. The power law exponents associated with these distributions fluctuate around one, but show a substantial decline during the dot-com bubble in 1997-2000 and the Shanghai bubble in 2007. In this paper, we show that the observed decline in the power law exponents is closely related to the deviation of the market values of stocks from their fundamental values. Specifically, we regress market capitalization of individual stocks on financial variables, such as sales, profits, and asset sizes, using the entire sample period to identify variables with substantial contributions to fluctuations in fundamentals. Based on the regression results for stocks listed in the NASDAQ, we argue that the fundamental value of a company is well captured by the value of its net asset; therefore, a price-to-book ratio (PBR, P/B Ratio) is a good measure of the deviation from fundamentals. We show that the PBR distribution across stocks listed in the NASDAQ has a much heavier upper tail in 1997 than in the other years, suggesting that stock prices deviate from fundamentals & Takayuki Mizuno

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“…These empirical properties are called stylized facts and observed in many financial markets like foreign exchange, stocks, etc. [1,2].…”

Section: Introductionmentioning

confidence: 99%

Delayed Majority Game with Heterogeneous Learning Speeds for Financial Markets

Yoshimura¹,

Yamada²

2017

Proceedings of the Asia-Pacific Econophysics Conference 2016 — Big Data Analysis and Modeling Toward Super Smart Society — (APE

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There are two famous statistical laws, so-called stylized facts, in financial markets. One is fat tail where the tail of price returns obeys a power law. The other is volatility clustering in which the autocorrelation function of absolute price returns decays with a power law. In order to understand relationships between the stylized facts and dealers' behaviors, we constructed a new agent-based model based on the grand canonical minority game (GCMG) and the Giardina-Bouchaud (GB) model. The recovery of stylized facts by GCMG and GB lacks of robustness. Therefore, based on the GCMG and GB model, we develop a new model that can reproduce stylized facts robustly. Furthermore, we find that heterogeneity of learning speeds of agents is important to reproduce the stylized facts.

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Analysis of high-resolution foreign exchange data of USD-JPY for 13 years

Cited by 55 publications

References 7 publications

Influence Networks in the Foreign Exchange Market

Influence Networks in the Foreign Exchange Market

Power laws in market capitalization during the dot-com and Shanghai bubble periods

Delayed Majority Game with Heterogeneous Learning Speeds for Financial Markets

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