start-ver=1.4
cd-journal=joma
no-vol=39
cd-vols=
no-issue=4
article-no=
start-page=151
end-page=176
dt-received=
dt-revised=
dt-accepted=
dt-pub-year=2008
dt-pub=200803
dt-online=
en-article=
kn-article=
en-subject=
kn-subject=
en-title=
kn-title=Fat tail phenomena in a stochastic model of stock market : the long-range percolation approach
en-subtitle=
kn-subtitle=
en-abstract=
kn-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.
en-copyright=
kn-copyright=

en-aut-name=KurodaKoji
en-aut-sei=Kuroda
en-aut-mei=Koji
kn-aut-name=黒田耕嗣
kn-aut-sei=黒田
kn-aut-mei=耕嗣
aut-affil-num=1
ORCID=

en-aut-name=MuraiJoshin
en-aut-sei=Murai
en-aut-mei=Joshin
kn-aut-name=村井浄信
kn-aut-sei=村井
kn-aut-mei=浄信
aut-affil-num=2
ORCID=

affil-num=1
en-affil=
kn-affil=日本大学

affil-num=2
en-affil=
kn-affil=岡山大学
en-keyword=stock price process
kn-keyword=stock price process
en-keyword=Lévy process
kn-keyword=Lévy process
en-keyword=Gibbs distribution
kn-keyword=Gibbs distribution
en-keyword=long−range percolation
kn-keyword=long−range percolation
en-keyword=fat tail
kn-keyword=fat tail
END

start-ver=1.4
cd-journal=joma
no-vol=40
cd-vols=
no-issue=4
article-no=
start-page=115
end-page=125
dt-received=
dt-revised=
dt-accepted=
dt-pub-year=2009
dt-pub=20090310
dt-online=
en-article=
kn-article=
en-subject=
kn-subject=
en-title=
kn-title=Graphs for Menshikov-Zuev's Problems on ρ-percolation Model
en-subtitle=
kn-subtitle=
en-abstract=
kn-abstract=In 1993, Menshikov and Zuev introduced ρ−percolation model, in which a path of a graph is ρ−passable in a
bond percolation configuration if the concentration of open bonds on it is at least ρ, and concerning this model,
they gave four open problems. In this paper, we answer three problems out of them : the first one is whether the ρ−percolation critical probability is equal to the critical probability corresponding to finite/infinite expectation of the number of ρ−connectable vertices from a fixed vertex, the second is whether the 1-p ercolation critical probability is equal to the Bernoulli bond percolation critical probability, and finally the third is whether the probability of the existence of ρ−passable path of length exceeding n starting from a fixed vertex always decays exponentially in the subcritical phase.
en-copyright=
kn-copyright=

en-aut-name=MuraiJoshin
en-aut-sei=Murai
en-aut-mei=Joshin
kn-aut-name=村井浄信
kn-aut-sei=村井
kn-aut-mei=浄信
aut-affil-num=1
ORCID=

affil-num=1
en-affil=
kn-affil=岡山大学
END

start-ver=1.4
cd-journal=joma
no-vol=47
cd-vols=
no-issue=2
article-no=
start-page=117
end-page=127
dt-received=
dt-revised=
dt-accepted=
dt-pub-year=2016
dt-pub=20160223
dt-online=
en-article=
kn-article=
en-subject=
kn-subject=
en-title=Strong Law of Large Numbers on a Polymer Model with Response Functions for Public Information
kn-title=公開情報への反応関数をもつポリマーモデルにおける大数の強法則
en-subtitle=
kn-subtitle=
en-abstract=
kn-abstract=
en-copyright=
kn-copyright=

en-aut-name=MuraiJoshin
en-aut-sei=Murai
en-aut-mei=Joshin
kn-aut-name=村井浄信
kn-aut-sei=村井
kn-aut-mei=浄信
aut-affil-num=1
ORCID=

affil-num=1
en-affil=
kn-affil=岡山大学
END