Fluctuation scaling of quotation activities in the foreign exchange market

We study the scaling behavior of quotation activities for various currency pairs in the foreign exchange market. The components’ centrality is estimated from multiple time series and visualized as a currency pair network. The power-law relationship between a mean of quotation activity and its standard deviation for each currency pair is found. The scaling exponent α and the ratio between common and specific fluctuations η increase with the length of the observation time window Δt. The result means that although for Δt=1(min), the market dynamics are governed by specific processes, and at a longer time scale Δt>100(min) the common information flow becomes more important. We point out that quotation activities are not independently Poissonian for Δt=1(min), and temporally or mutually correlated activities of quotations can happen even at this time scale. A stochastic model for the foreign exchange market based on a bipartite graph representation is proposed.