Fluctuations in time intervals of financial data from the view point of the Gini index

Details Fluctuations in time intervals of financial data from the view point of the Gini index Fluctuations in time intervals of financial data from the view point of the Gini index

2006-12-30

arxiv.org/abs/physics/0701008v1

Physics

Data Analysis, Statistics and Probability

6pages, 3figures, using elsart.cls

Scientific paper

10.1016/j.physa.2007.04.088

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 Weibull distribution which is a good candidate to describe the first passage time of foreign exchange rate. The analytical expression of the Gini index gives a very close value with that of empirical data analysis.

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