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

Kenta Yamada, Hideki Takayasu and Misako Takayasu

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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.

Date: 2006-08, Revised 2006-08
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0608099

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