Characterization of foreign exchange market using the threshold-dealer-model
classification
⚛️ physics.soc-ph
physics.data-anq-fin.ST
keywords
empiricallawsmarketcausalitychangecharacterizationclarifydealer
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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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