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Time interval between successive trading in foreign currency market: from microscopic to macroscopic

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  • Sato, Aki-Hiro

Abstract

Recently, it has been shown that inter-transaction interval (ITI) distribution of foreign currency rates has a fat tail. In order to understand the statistical property of the ITI dealer model with N interactive agents is proposed. From numerical simulations it is confirmed that the ITI distribution of the dealer model has a power law tail. The random multiplicative process (RMP) can be approximately derived from the ITI of the dealer model. Consequently, we conclude that the power law tail of the ITI distribution of the dealer model is a result of the RMP.

Suggested Citation

  • Sato, Aki-Hiro, 2004. "Time interval between successive trading in foreign currency market: from microscopic to macroscopic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 211-215.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:211-215
    DOI: 10.1016/j.physa.2004.06.119
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    References listed on IDEAS

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