Fluctuations in time intervals of financial data from the view point of the Gini index
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概要
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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.
- Elsevierの論文
- 2007-09-01
Elsevier | 論文
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