The distribution of first-passage times and durations in FOREX and future markets

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 14, 2009, Pages 2839-2853

  Sazuka, Naoya ^a   Inoue, Jun ichi ^b   Scalas, Enrico ^c  

^a SONY CORPORATION   (Japan)

^b HOKKAIDO UNIVERSITY   (Japan)

^c UNIVERSITY OF EASTERN PIEDMONT   (Italy)

Author keywords

Average waiting time; BTP futures; Gini index; Mittag Leffler survival function; Stochastic process; The Sony Bank USD JPY rate; Time interval distribution; Weibull distribution

Indexed keywords

COMMERCE; ELECTRON TRANSITIONS; FINANCIAL MARKETS; RANDOM PROCESSES; STOCHASTIC SYSTEMS;

AVERAGE WAITING-TIME; BTP FUTURES; GINI INDEX; SURVIVAL FUNCTION; TIME INTERVAL;

WEIBULL DISTRIBUTION;

EID: 67349089008     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.03.027     Document Type: Article

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