Characterization of foreign exchange market using the threshold-dealer-model

Details Characterization of foreign exchange market using the threshold-dealer-model Characterization of foreign exchange market using the threshold-dealer-model

2006-08-09

arxiv.org/abs/physics/0608099v2

Physics

Physics and Society

10pages, 5figures, 1table, Proceedings of APFA5

Scientific paper

10.1016/j.physa.2007.02.027

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.

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