Characterization of foreign exchange market using the threshold-dealer-model
arXiv:physics/0608099 · doi:10.1016/j.physa.2007.02.027
Abstract
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.
10pages, 5figures, 1table, Proceedings of APFA5
References in corpus (1)
Cited by in corpus (7)
- Social physics
- Solvable Stochastic Dealer Models for Financial Markets
- Kinetic Theory for Finance Brownian Motion from Microscopic Dynamics
- Application of spectral methods for high-frequency financial data to quantifying states of market participants
- The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets
- The Grounds For Time Dependent Market Potentials From Dealers' Dynamics
- On possible origins of trends in financial market price changes