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physics.data-an2005
Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model
Aki-Hiro Sato
Power spectrum densities for the number of tick quotes per minute (market activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods from January 1999 to Decem…
physics.data-an2005
A characteristic time scale of tick quotes on foreign currency markets
Aki-Hiro Sato
This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for t…