| Presentation | 2000/1/12 Dynamical numerical model of stock market price : from microscopic determinism to macroscopic randomness Aki-Hiro Sato, Hideki Takayasu, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | It has pointed that a probability density function for price changes of exchanges or stocks follows a function with long tails such as Levy distribution. However the reason why there are rapid fluctuations of price changes in the market have not been clarified yet. In this article we introduce a simple multi-agent model based on threshold dynamics. We show that fluctuations of the multi-agent model can be approximated by a stochastic process with both multiplicative and additive noise and numerically demonstrate the fluctuations of price changes in the multi-agent model by using the stochastic process. We propose an electric circuit which can generate fluctuations statistically equivalent to the price changes. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | stock market price change / Levy distribution / multi-agent / stochastic process / electric circuit |
| Paper # | AI99-72 |
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| Conference Information | |
| Committee | AI |
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| Conference Date | 2000/1/12(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) | Dynamical numerical model of stock market price : from microscopic determinism to macroscopic randomness |
| Sub Title (in English) | |
| Keyword(1) | stock market price change |
| Keyword(2) | Levy distribution |
| Keyword(3) | multi-agent |
| Keyword(4) | stochastic process |
| Keyword(5) | electric circuit |
| 1st Author's Name | Aki-Hiro Sato |
| 1st Author's Affiliation | Graduate School of Information Science, Tohoku Univ.() |
| 2nd Author's Name | Hideki Takayasu |
| 2nd Author's Affiliation | Sony Computer Science Laboratory |
| Date | 2000/1/12 |
| Paper # | AI99-72 |
| Volume (vol) | vol.99 |
| Number (no) | 533 |
| Page | pp.pp.- |
| #Pages | 8 |
| Date of Issue | |