Characterization of foreign exchange market using the   threshold-dealer-model
  We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empirical laws. 
Kenta Yamada, Hideki Takayasu, Misako Takayasu