摘要翻译：
外汇市场的实证分析是基于[A.-H.Sato,Physica A,382（2007）258--270]中引入的用谱距离量化多维时间序列之间相似性的方法进行的。结果表明，货币对之间的相似性随地球自转而波动，最佳报价率之间的相似性与报价频率之间的相似性有关。从经验和数值上证明了Jensen-Shannon谱散度与Kullback-Leibler谱距离的平均值成正比。通过数值模拟，证实了这些谱距离与市场参与者行为参数的分布有关。这表明，金融市场代表性数量的谱距离与市场参与者行为参数的多样化有关。
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英文标题：
《Application of spectral methods for high-frequency financial data to
  quantifying states of market participants》
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作者：
Aki-Hiro Sato
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  Empirical analysis of the foreign exchange market is conducted based on methods to quantify similarities among multi-dimensional time series with spectral distances introduced in [A.-H. Sato, Physica A, 382 (2007) 258--270]. As a result it is found that the similarities among currency pairs fluctuate with the rotation of the earth, and that the similarities among best quotation rates are associated with those among quotation frequencies. Furthermore it is shown that the Jensen-Shannon spectral divergence is proportional to a mean of the Kullback-Leibler spectral distance both empirically and numerically. It is confirmed that these spectral distances are connected with distributions for behavioral parameters of the market participants from numerical simulation. This concludes that spectral distances of representative quantities of financial markets are related into diversification of behavioral parameters of the market participants.
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PDF链接：
https://arxiv.org/pdf/0709.1530