ID | 12382 |
JaLCDOI | |
Sort Key | 9
|
フルテキストURL | |
著者 |
黒田 耕嗣
日本大学
|
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
|
出版者 | 岡山大学経済学会
|
出版者(別表記) | The economic association of okayama university
|
開始ページ | 151
|
終了ページ | 176
|
ISSN | 03863069
|
NCID | AN00032897
|
資料タイプ |
学術雑誌論文
|
OAI-PMH Set |
岡山大学
|
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 | |
Eprints Journal Name | oer
|