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, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empirical laws.

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Year of publication:	2006-08
Authors:	Yamada, Kenta ; Takayasu, Hideki ; Takayasu, Misako
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005105837