Fluctuations in time intervals of financial data from the view point of the Gini index

✍ Scribed by Naoya Sazuka; Jun-ichi Inoue

• Publisher: Elsevier Science
• Year: 2007
• Tongue: English
• Weight: 152 KB
• Volume: 383
• Category: Article
• ISSN: 0378-4371
• DOI: 10.1016/j.physa.2007.04.088

✦ Synopsis

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: A good candidate to describe the first passage time of foreign exchange rate. The analytical expression of the Gini index compares well with the value obtained from empirical data.