Title of article
Characterization of foreign exchange market using the threshold-dealer-model
Author/Authors
Kenta Yamada، نويسنده , , Hideki Takayasu، نويسنده , , Misako Takayasu، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
7
From page
340
To page
346
Abstract
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, autocorrelation of price change and non-Poissonian intervals. We also clarify the causality between microscopic dealers’ dynamics and macroscopic marketʹs empirical laws.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2007
Journal title
Physica A Statistical Mechanics and its Applications
Record number
871824
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