A model of complex behavior of interbank exchange markets

In the present paper, we analyze the complex interaction among three macroscopic variables, dealing time intervals, spreads between ask and bid prices and price movements, observed in actual interbank exchange markets. For this analysis, we propose a new model of interbank exchange dealings as a statistical system integrated by many dealers’ actions with the methods of statistical physics. For evaluating the plausibility of our model, we compare outputs from the proposed model with the real data by reconstructing a state space with the above three variables, observing ensemble behavior in each day and estimating statistical properties. As a result, we can confirm that our model is plausible, and we perform the above analysis with our model from the viewpoint of statistical physics.