株価変動の現象論的統計力学モデル(<論文特集>「エコノフィジックス」)  [in Japanese] Phenomenological model of statistical physics for stock price fluctuation(<Special Future>Econophysics)  [in Japanese]

Abstract

In this paper, a statistical physics model for the collective price changes of stock portfolios is proposed. Through the analysis of Dow-Jones industrial portfolio consisting of 30 stock issues, we show that the synchronization of the price changes can be described by the thermal equilibrium distribution of our model and the slight deviation from it. We also point out a non-equilibrium fluctuation mode in the price data of the recent two-and-a-half months.

Journal

Journal of the Japan Society for Simulation Technology   [List of Volumes]

Journal of the Japan Society for Simulation Technology 21(2), 92-95, 2002-06-15  [Table of Contents]

Japan Society for Simmulation Technology

References:  8

You must have a user ID to see the references.If you already have a user ID, please click "Login" to access the info.New users can click "Sign Up" to register for an user ID.

Preview

Preview

Codes

  • NII Article ID (NAID) :
    110003945856
  • NII NACSIS-CAT ID (NCID) :
    AN00329524
  • Text Lang :
    JPN
  • Article Type :
    ART
  • ISSN :
    02859947
  • NDL Article ID :
    6213913
  • NDL Source Classification :
    ZM13(科学技術--科学技術一般--データ処理・計算機)
  • NDL Call No. :
    Z14-893
  • Databases :
    CJP  NDL  NII-ELS