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Characterization of foreign exchange market using the threshold-dealer-model |
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| Authors: | Kenta Yamada Hideki Takayasu |
| Institution: | a Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259 Nagatsuta-cho, Midori-ku, Yokohama 226-8502, Japan b Sony Computer Science Laboratories, 3-14-13 Higashi-Gotanda, Shinagawa-ku, Tokyo 141-0022, Japan |
| 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. |
| Keywords: | Artificial market Threshold dynamics Deterministic process Nonlinear dynamics and chaos |
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