Characterization of foreign exchange market using the threshold-dealer-model
Physics and Society
2009-11-13 v2 Data Analysis, Statistics and Probability
Statistical Finance
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.
Keywords
Cite
@article{arxiv.physics/0608099,
title = {Characterization of foreign exchange market using the threshold-dealer-model},
author = {Kenta Yamada and Hideki Takayasu and Misako Takayasu},
journal= {arXiv preprint arXiv:physics/0608099},
year = {2009}
}
Comments
10pages, 5figures, 1table, Proceedings of APFA5