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

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.

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Year of publication:	2007
Authors:	Sazuka, Naoya ; Inoue, Jun-ichi
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 383.2007, 1, p. 49-53
Publisher:	Elsevier
Subject:	Stochastic process \| Gini index \| Time interval distribution \| Weibull distribution \| The Sony bank USD/JPY rate

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010589299