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