Waiting Times Distribution for Second-Scale Price Changes in FX Market
Using second-by-second data, we show that the lognormal distribution provides a good overall fit to the waiting time between price changes in FX market, if both short and long waiting times are included. For the subset corresponding to longer waiting-times, we show that the distribution is well described statistically by a power-law, with each currency pair having its own power-law exponent in the range 1.73.5. As part of our quest to develop a quantitative explanation of the entire waiting time distribution in terms of trading behavior, we offer an explanation for the subset of shorter waiting times using a simple microscopic agent-based model featuring competition for limited resources.
waiting time distribution foreign exchange market lognormal distribution power law distribution agent based model
Guannan Zhao Neil Johnson Dan Fenn Mark McDonald Stacy Williams
Department of Physics University of Miami Coral Gables, FL, USA FX Research and Trading Group, HSBC Bank 8 Canada Square, London E14 5HQ, UK
国际会议
上海
英文
544-548
2011-03-11（万方平台首次上网日期，不代表论文的发表时间）