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

Naoya Sazuka and Jun-ichi Inoue

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Abstract: 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.

Date: 2006-12
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