ID | 12382 |
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Sort Key | 9
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FullText URL | |
Author |
Kuroda, Koji
Murai, Joshin
Kaken ID
researchmap
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Abstract | Using a Gibbs distribution developed in the theory of statistical physics and a long−range percolation theory,
we present a new model of a stock price process for explaining the fat tail in the distribution of stock returns. We consider two types of traders, Group A and Group B : Group A traders analyze the past data on the stock market to determine their present trading positions. The way to determine their trading positions is not deterministic but obeys a Gibbs distribution with interactions between the past data and the present trading
positions. On the other hand, Group B traders follow the advice reached through the long−range percolation system from the investment adviser. As the resulting stock price process, we derive a Lévy process.
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Keywords | stock price process
Lévy process
Gibbs distribution
long−range percolation
fat tail
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Publication Title |
岡山大学経済学会雑誌
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Published Date | 2008-03
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Volume | volume39
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Issue | issue4
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Publisher | 岡山大学経済学会
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Publisher Alternative | The economic association of okayama university
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Start Page | 151
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End Page | 176
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ISSN | 03863069
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NCID | AN00032897
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Content Type |
Journal Article
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OAI-PMH Set |
岡山大学
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language |
English
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Copyright Holders | 岡山大学経済学会
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File Version | publisher
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NAID | |
Eprints Journal Name | oer
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