53 citations · 200 across the 10 of their papers we have counts for
10 papers
On-line trading as a renewal process: Waiting time and inspection paradox
Jun-ichi Inoue, Naoya Sazuka, Enrico Scalas
We briefly review our recent studies on stochastic processes modelling internet on-line trading. We present a way to evaluate the average waiting time between the observation of th…
The distribution of first-passage times and durations in FOREX and future markets
Naoya Sazuka, Jun-ichi Inoue, Enrico Scalas
Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent m…
Waiting time analysis of foreign currency exchange rates: Beyond the renewal-reward theorem
Naoya Sazuka, Jun-ichi Inoue
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for indiv…
Fluctuations in time intervals of financial data from the view point of the Gini index
Naoya Sazuka, Jun-ichi Inoue
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…
Queueing theoretical analysis of foreign currency exchange rates
Jun-ichi Inoue, Naoya Sazuka
We propose a useful approach for investigating the statistical properties of foreign currency exchange rates. Our approach is based on queueing theory, particularly, the so-called…
Crossover between Levy and Gaussian regimes in first passage processes
Jun-ichi Inoue, Naoya Sazuka
We propose a new approach to the problem of the first passage time. Our method is applicable not only to the Wiener process but also to the non--Gaussian Lvy flights…