dorsal/arxiv
View SchemaCharacterization of foreign exchange market using the threshold-dealer-model
| Authors | Kenta Yamada, Hideki Takayasu, Misako Takayasu |
|---|---|
| Categories | |
| ArXiv ID | physics/0608099 |
| URL | https://arxiv.org/abs/physics/0608099 |
| DOI | 10.1016/j.physa.2007.02.027 |
Abstract
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empirical laws.
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"abstract": "We introduce a deterministic dealer model which implements most of the\nempirical laws, such as fat tails in the price change distributions, long term\nmemory of volatility and non-Poissonian intervals. We also clarify the\ncausality between microscopic dealers\u0027 dynamics and macroscopic market\u0027s\nempirical laws.",
"arxiv_id": "physics/0608099",
"authors": [
"Kenta Yamada",
"Hideki Takayasu",
"Misako Takayasu"
],
"categories": [
"physics.soc-ph",
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.02.027",
"title": "Characterization of foreign exchange market using the threshold-dealer-model",
"url": "https://arxiv.org/abs/physics/0608099"
},
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