✦ LIBER ✦

Characterization of foreign exchange market using the threshold-dealer-model

✍ Scribed by Kenta Yamada; Hideki Takayasu; Misako Takayasu

Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 238 KB
Volume: 382
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2007.02.027

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✦ Synopsis

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 market's empirical laws.

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