Related papers: Synchronization analysis between exchange rates on…
For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there…
We study systems of identical coupled oscillators introducing a distribution of delay times in the coupling. For arbitrary network topologies, we show that the frequency and stability of the fully synchronized states depend only on the mean…
The collective behavior in a population of globally coupled oscillators with randomly distributed frequencies is studied when the natural frequency distribution does not possess an even symmetry with respect to the average natural frequency…
We propose a useful approach for investigating the statistical properties of foreign currency exchange rates. Our approach is based on queueing theory, particularly, the so-called renewal-reward theorem. For the first passage processes of…
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the…
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in reactive state. Further, synchronization…
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at…
We devised a measure based on the distributions of relative event timings of two coupled units. The measure dynamically evaluates temporal interdependencies between the two coupled units. Using this we show that even in the event of…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…
Synchronization by exchange of pulses is a widespread phenomenon, observed in flashing fireflies, applauding audiences and the neuronal network of the brain. Hitherto the focus has been on integrate-and-fire oscillators. Here we consider…
A non-trivial probability structure is evident in the binary data extracted from the up/down price movements of very high frequency data such as tick-by-tick data for USD/JPY. In this paper, we analyze the Sony bank USD/JPY rates, ignoring…
Synchronization processes are ubiquitous despite the many connectivity patterns that complex systems can show. Usually, the emergence of synchrony is a macroscopic observable, however, the microscopic details of the system, as e.g. the…
In this work we study the dynamics of Kuramoto oscillators on a stochastically evolving network whose evolution is governed by the phases of the individual oscillators and degree distribution. Synchronization is achieved after a threshold…
Synchronization of coupled oscillators is a fundamental process in both natural and artificial networks. While much work has investigated the asymptotic stability of the synchronous solution, the fundamental question of the transient…
Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this…
Synchronization is one of the paradigmatic phenomena in the study of complex systems. It has been explored theoretically and experimentally mostly to understand natural phenomena, but also in view of technological applications. Although…
In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior…
Some nonlinear radiations such as superfluorescence can be understood as cooperative effects between atoms. We regard the cooperative radiation as a manifested effect secondary to the intrinsic synchronization among the atoms and propose a…
We present a simple hybrid dynamical model as a tool to investigate behavioral strategies based on trend following. The multiplicative symbolic dynamics are generated using a lognormal diffusion model for the at-the-money implied volatility…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…