Fluctuations in time intervals of financial data from the view point of the Gini index |
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| Authors: | Naoya Sazuka Jun-ichi Inoue |
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| Institution: | a Sony Corporation, 1-7-1 Konan, Minato-ku, Tokyo 108-0075, Japan
b Complex Systems Engineering, Graduate School of Information Science and Technology, Hokkaido University, N14-W9, Kita-ku, Sapporo 060-0814, Japan |
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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: A good candidate to describe the first passage time of foreign exchange rate. The analytical expression of the Gini index compares well with the value obtained from empirical data. |
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| Keywords: | 89 65 Gh |
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