外汇市场报价的频率分析和基于主体的建模：谱距离方法
Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach
摘要：
利用两个标准化的报价频率谱图之间的Kullback-Leibler分歧和它们之间的广义Jensen-Shannon分歧，对外汇市场高频金融数据（EUR/CHF，EUR/GBP，EUR/JPY，EUR/NOK，EUR/SEK，EUR/USD，NZD/USD，USD/CAD，USD/CHF，USD/JPY，USD/NOK，USD/SEK）进行分析。货币对之间的相似性的时间结构变化的检测和特征。提出了一个简单的基于代理的模型，其中$N$市场参与者交换$M$货币对。从理论上近似推导出滴答频率的方程。基于该模型的分析，报价频率的谱距离与市场参与者在交换这些货币对时的行为（感知和决策）的相似性相关联。
英文摘要：
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Shannon divergence among them. The temporal structure variations of the similarity between currency pairs is detected and characterized. A simple agent-based model in which $N$ market participants exchange $M$ currency pairs is proposed. The equation for the tick frequency is approximately derived theoretically. Based on the analysis of this model, the spectral distance of the tick frequency is associated with the similarity of the behavior (perception and decision) of the market participants in exchanging these currency pairs.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
