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 expre
Testing for dynamics in the irregular fluctuations of financial data
β Scribed by Tomomichi Nakamura; Michael Small
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 537 KB
- Volume
- 366
- Category
- Article
- ISSN
- 0378-4371
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