Quantifying market states with comprehensive high-resolution data of financial markets: From viewpoint on diversification and similarity of agents' collective behavior

Abstract

This study proposes methods to quantify states of market participants with comprehensive high-resolution data of financial markets. The number of quotations and transactions are focused from information transmission perspectives. The proposed methods are demonstrated by using comprehensive high-resolution data of the foreign exchange market. It is found that the states of market participants drastically changed around recent financial crisis which had happened in the middle of 2008.