Cover Image

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 which is a good candidate to describe the first passage time of foreign exchange rate. The analytical expression of the Gini index gives a very close value with that of empirical data analysis.
Year of publication:
2006-12
Authors: Sazuka, Naoya ; Inoue, Jun-ichi
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005084057
Similar items by person