| Presentation | 2001/8/31 Nonlinear modeling of exchange markets on the basis of volatilities and spreads Tomoya SUZUKI, Tohru IKEGUCHI, Masuo SUZUKI, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | The interbank exchange dealing differs from the stock dealing, because the former has the rule of "Two Way Quotation" that a bank must quote offer and bid prices to the other bank simultaneously. Recently, to consider the universality of dealing actions, many dealing models do not separate the exchange dealing from the stock dealing by describing their behavior as same as dealing prices. In this paper, we propose a model of the interbank exchange dealing, which incorporates the interval time and the spread between offer and bid prices, in order to discuss the mechanism of the markets. Moreover, we compare the outputs from the proposed model with the real data, and show the plausibility of the model. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | exchange market / spread / interval time / geometric Brownian motion / ARCH process / nonlinear model |
| Paper # | CAS2001-63, NLP2001-52 |
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| Conference Information | |
| Committee | CAS |
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| Conference Date | 2001/8/31(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Circuits and Systems (CAS) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Nonlinear modeling of exchange markets on the basis of volatilities and spreads |
| Sub Title (in English) | |
| Keyword(1) | exchange market |
| Keyword(2) | spread |
| Keyword(3) | interval time |
| Keyword(4) | geometric Brownian motion |
| Keyword(5) | ARCH process |
| Keyword(6) | nonlinear model |
| 1st Author's Name | Tomoya SUZUKI |
| 1st Author's Affiliation | Graduate School of Science, Science University of Tokyo() |
| 2nd Author's Name | Tohru IKEGUCHI |
| 2nd Author's Affiliation | Graduate School of Science and Technology, Saitama University |
| 3rd Author's Name | Masuo SUZUKI |
| 3rd Author's Affiliation | Department of Applied Physics, Faculty of Science, Science University of Tokyo |
| Date | 2001/8/31 |
| Paper # | CAS2001-63, NLP2001-52 |
| Volume (vol) | vol.101 |
| Number (no) | 276 |
| Page | pp.pp.- |
| #Pages | 8 |
| Date of Issue | |