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

Author

Listed:
  • Yamada, Kenta
  • Takayasu, Hideki
  • Takayasu, Misako

Abstract

We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, autocorrelation of price change and non-Poissonian intervals. We also clarify the causality between microscopic dealers’ dynamics and macroscopic market's empirical laws.

Suggested Citation

  • Yamada, Kenta & Takayasu, Hideki & Takayasu, Misako, 2007. "Characterization of foreign exchange market using the threshold-dealer-model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 340-346.
    • Handle: RePEc:eee:phsmap:v:382:y:2007:i:1:p:340-346
    DOI: 10.1016/j.physa.2007.02.027
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    Citations

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    Cited by:

    1. Ryo Murakami & Tomomichi Nakamura & Shin Kimura & Masashi Manabe & Toshihiro Tanizawa, 2014. "On possible origins of trends in financial market price changes," Papers 1406.5276, arXiv.org, revised Nov 2014.
    2. Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu, 2020. "The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-19, June.
    3. Murakami, Ryo & Nakamura, Tomomichi & Kimura, Shin & Manabe, Masashi & Tanizawa, Toshihiro, 2015. "On possible origins of trends in financial market price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 179-189.

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