Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
979545 | Physica A: Statistical Mechanics and its Applications | 2007 | 5 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Naoya Sazuka, Jun-ichi Inoue,