论文信息 - Characterization of foreign exchange market using the threshold-dealer-model

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

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.

Misako Takayasu | Kenta Yamada | Hideki Takayasu

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