dorsal/arxiv
View SchemaFluctuations in time intervals of financial data from the view point of the Gini index
| Authors | Naoya Sazuka, Jun-ichi Inoue |
|---|---|
| Categories | |
| ArXiv ID | physics/0701008 |
| URL | https://arxiv.org/abs/physics/0701008 |
| DOI | 10.1016/j.physa.2007.04.088 |
Abstract
We propose an approach to explain fluctuations in time intervals of financial markets data from the view point of the Gini index. We show the explicit form of the Gini index for a Weibull distribution which is a good candidate to describe the first passage time of foreign exchange rate. The analytical expression of the Gini index gives a very close value with that of empirical data analysis.
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"abstract": "We propose an approach to explain fluctuations in time intervals of financial\nmarkets data from the view point of the Gini index. We show the explicit form\nof the Gini index for a Weibull distribution which is a good candidate to\ndescribe the first passage time of foreign exchange rate. The analytical\nexpression of the Gini index gives a very close value with that of empirical\ndata analysis.",
"arxiv_id": "physics/0701008",
"authors": [
"Naoya Sazuka",
"Jun-ichi Inoue"
],
"categories": [
"physics.data-an",
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"q-fin.ST"
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"doi": "10.1016/j.physa.2007.04.088",
"title": "Fluctuations in time intervals of financial data from the view point of the Gini index",
"url": "https://arxiv.org/abs/physics/0701008"
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