| JaLCDOI | 10.18926/OER/12382 |
|---|---|
| フルテキストURL | 39_4_151_176.pdf |
| 著者 | 黒田 耕嗣| 村井 浄信| |
| 抄録 | 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. |
| キーワード | stock price process Lévy process Gibbs distribution long−range percolation fat tail |
| 出版物タイトル | 岡山大学経済学会雑誌 |
| 発行日 | 2008-03 |
| 巻 | 39巻 |
| 号 | 4号 |
| 開始ページ | 151 |
| 終了ページ | 176 |
| ISSN | 03863069 |
| 言語 | 英語 |
| 著作権者 | 岡山大学経済学会 |
| 論文のバージョン | publisher |
| NAID | 120002304827 |
| JaLCDOI | 10.18926/OER/14929 |
|---|---|
| フルテキストURL | 40_4_115_125.pdf |
| 著者 | 村井 浄信| |
| 抄録 | 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. |
| 出版物タイトル | 岡山大学経済学会雑誌 |
| 発行日 | 2009-03-10 |
| 巻 | 40巻 |
| 号 | 4号 |
| 開始ページ | 115 |
| 終了ページ | 125 |
| ISSN | 0386-3069 |
| 関連URL | http://www.e.okayama-u.ac.jp/~shiryou/gakkaishi.htm |
| 言語 | 英語 |
| 著作権者 | 岡山大学経済学会 |
| 論文のバージョン | publisher |
| NAID | 120002308476 |
| JaLCDOI | 10.18926/OER/54147 |
|---|---|
| タイトル（別表記） | Strong Law of Large Numbers on a Polymer Model with Response Functions for Public Information |
| フルテキストURL | oer_047_2_117_127.pdf |
| 著者 | 村井 浄信| |
| 出版物タイトル | 岡山大学経済学会雑誌 |
| 発行日 | 2016-02-23 |
| 巻 | 47巻 |
| 号 | 2号 |
| 開始ページ | 117 |
| 終了ページ | 127 |
| ISSN | 0386-3069 |
| 言語 | 日本語 |
| 著作権者 | Copyright © 2016 岡山大学経済学会 |
| 論文のバージョン | publisher |
| NAID | 120005740487 |