| Presentation | 2003/1/22 Statistical laws and dynamics of an open market : Price changes in very short time scales Takayuki MIZUNO, Shoko KURIHARA, Misako TAKAYASU, Hideki TAKAYASU, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | We show price change distribution and price change correlation and price diffusion in very short time scales in an open market. We think about the dynamics of these statistical laws and make a model based on basic dealer's actions. The keys of this model are two elements of dealer's reactions to price trend and price fluctuation. Therefore, it is noticed that fat-tail of price change distribution and high order correlations and anomalous diffusion are generated by modest price trend and violent fluctuation. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Econophysics / Foreign exchange rate / correlation / dynamics |
| Paper # | AI2002-23 |
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| Committee | AI |
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| Conference Date | 2003/1/22(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Registration To | Artificial Intelligence and Knowledge-Based Processing (AI) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Statistical laws and dynamics of an open market : Price changes in very short time scales |
| Sub Title (in English) | |
| Keyword(1) | Econophysics |
| Keyword(2) | Foreign exchange rate |
| Keyword(3) | correlation |
| Keyword(4) | dynamics |
| 1st Author's Name | Takayuki MIZUNO |
| 1st Author's Affiliation | Faculty of Science and Engineering,Chuo University() |
| 2nd Author's Name | Shoko KURIHARA |
| 2nd Author's Affiliation | Faculty of Science and Engineering,Chuo University |
| 3rd Author's Name | Misako TAKAYASU |
| 3rd Author's Affiliation | Department of Complex Systems,Future University-Hakodate |
| 4th Author's Name | Hideki TAKAYASU |
| 4th Author's Affiliation | Sony Computer Science Laboratories Inc. |
| Date | 2003/1/22 |
| Paper # | AI2002-23 |
| Volume (vol) | vol.102 |
| Number (no) | 613 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |