Suzuki, Tomoya; Ikeguchi, Tohru; Suzuki, Masuo - In: Physica A: Statistical Mechanics and its Applications 337 (2004) 1, pp. 196-218
In the present paper, we analyze the complex interaction among three macroscopic variables, dealing time intervals, spreads between ask and bid prices and price movements, observed in actual interbank exchange markets. For this analysis, we propose a new model of interbank exchange dealings as a...