Detecting Environmental Changes through High-Resolution Data of Financial Markets
Detecting Environmental Changes through High-Resolution Data of Financial Markets
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DOI：
10.1007/978-3-642-00909-9_57
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
A. Sato
中科院分区：
文献类型：
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作者：
A. Sato
本文提出了全面和高分辨率地检测金融市场状态的方法。为了量化交易模式，提出了几种数学方法的基础上，从金融市场的高分辨率数据估计的报价/交易的频率。外汇市场的实证结果（图形网络表示和量化的市场参与者的状态）显示。它的结论是，与大量的市场参与者的同步行为可能是一个候选人的间接迹象，导致环境变化。
This article proposes methods to detect states of financial markets both comprehensively and with a high-resolution. In order to quantify trading patterns several mathematical methods are proposed based on frequencies of quotations/ transactions estimated from high-resolution data of financial markets. The empirical results (graphical network representation and quantification of states of market participants) for the foreign exchange market are shown. It is concluded that synchronous behavior associated with a large population of market participants may be a candidate of precursory signs leading to an environmental change.