Presentation	2002/1/2 Artificial market and Real Market Yoshihiro NAKAJIMA,
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Abstract(in English)	I research how distance time series obtained from real market differ from stochastic process and deterministic chaos. These are data of stock markets, foreign exchange markets, commodity exchange markets and their futures. The data are the closing price or point of each day. I calculate correlation dimension and distribution of volatility of them. The result of this analysis is that fluctuations of actual market generally show non-linearity without few exceptions. Distributions of volatility and correlation dimensions of obtained data both far from the value that is expected if the fluctuations are random walk.
Keyword(in Japanese)	(See Japanese page)
Keyword(in English)	Correlation Dimension / Econophyics / Random Walk Hypothesis / Fat Tail
Paper #	2001-AI-65
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Conference Information
Committee	AI
Conference Date	2002/1/2(1days)
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Paper Information
Registration To	Artificial Intelligence and Knowledge-Based Processing (AI)
Language	JPN
Title (in Japanese)	(See Japanese page)
Sub Title (in Japanese)	(See Japanese page)
Title (in English)	Artificial market and Real Market
Sub Title (in English)
Keyword(1)	Correlation Dimension
Keyword(2)	Econophyics
Keyword(3)	Random Walk Hypothesis
Keyword(4)	Fat Tail
1st Author's Name	Yoshihiro NAKAJIMA
1st Author's Affiliation	Graduate School of Economics, Osaka City University()
Date	2002/1/2
Paper #	2001-AI-65
Volume (vol)	vol.101
Number (no)	535
Page	pp.pp.-
#Pages	7
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