Fluctuations in time intervals of financial data from the view point of the Gini index


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Please use this identifier to cite or link to this item:http://hdl.handle.net/2115/28044

Title:	Fluctuations in time intervals of financial data from the view point of the Gini index
Authors:	Sazuka, Naoya Browse this author
Authors:	Inoue, Jun-ichi Browse this author →KAKEN DB
Keywords:	Stochastic process
	Gini index
	Time interval distribution
	Weibull distribution
	The Sony bank USD/JPY rate
Issue Date:	1-Sep-2007
Publisher:	Elsevier
Journal Title:	Physica A Statistical Mechanics and its Applications
Volume:	383
Issue:	1
Start Page:	49
End Page:	53
Publisher DOI:	10.1016/j.physa.2007.04.088
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.
Relation:	http://www.sciencedirect.com/science/journal/03784371
Type:	article (author version)
URI:	http://hdl.handle.net/2115/28044
Appears in Collections:	情報科学院・情報科学研究院 (Graduate School of Information Science and Technology / Faculty of Information Science and Technology) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 井上純一

OAI-PMH ( junii2 , jpcoar_1.0 )

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