Summary
We confirm validity of the new type of stochastic process called the self modulation process through the analysis of transaction interval data in Yen-Dollar exchange market. In the model the expectation value of the process is continuously modulated by its own moving average. It is proved exactly and generally that point processes with such self-modulation effect generally show the 11f power spectrum consistent with observations.
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© 2004 Springer Japan
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Takayasu, M. (2004). Self-modulation processes in financial markets. In: Takayasu, H. (eds) The Application of Econophysics. Springer, Tokyo. https://doi.org/10.1007/978-4-431-53947-6_21
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DOI: https://doi.org/10.1007/978-4-431-53947-6_21
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-67961-5
Online ISBN: 978-4-431-53947-6
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