  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.
