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Multivariable Modeling on Complex Behavior of a Foreign Exchange Market
The Application of Econophysics
We discover a remarkable property of a foreign exchange market: when the spreads, the difference between ask and bid prices, become large, the dealing time intervals become short and the price movements become strong. To discuss an interaction of these variables, we propose a model on complex behavior of the foreign exchange market. Then, we confirm the plausibility of the proposed model by comparing the statistical properties of the real market and the model. Finally, we discuss why theredoi:10.1007/978-4-431-53947-6_33 fatcat:dgovpgpg65ecfkcnyxn5stiffi