Time interval between successive trading in foreign currency market: from microscopic to macroscopic
Time interval between successive trading in foreign currency market: from microscopic to macroscopic
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外汇市场连续交易的时间间隔：从微观到宏观
DOI：
10.1016/j.physa.2004.06.119
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
A. Sato
中科院分区：
文献类型：
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作者：
A. Sato
最近，它已被证明，交易间间隔（ITI）分布的外币汇率有一个厚尾。为了理解具有N个交互代理的ITI经销商模型的统计性质，提出了一种新的模型。从数值模拟，它证实了ITI分布的经销商模型具有幂律尾部。随机乘法过程（RMP）可以近似地从经销商模型的ITI导出。因此，我们得出结论，幂律尾的ITI分布的经销商模型是一个结果的RMP。
Recently, it has been shown that inter-transaction interval (ITI) distribution of foreign currency rates has a fat tail. In order to understand the statistical property of the ITI dealer model with N interactive agents is proposed. From numerical simulations it is confirmed that the ITI distribution of the dealer model has a power law tail. The random multiplicative process (RMP) can be approximately derived from the ITI of the dealer model. Consequently, we conclude that the power law tail of the ITI distribution of the dealer model is a result of the RMP.
自调制过程和产生的通用 1/f 波动
DOI：
--
发表时间：
2003
期刊：
Physica A 324
影响因子：
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作者：
Misako Takayasu and Hideki Takayasu
通讯作者：
Misako Takayasu and Hideki Takayasu