情報伝達と資産収益率分布に関する統計的特性との関係  [in Japanese] Financial Stylized Facts in the Word of Mouth Model  [in Japanese]

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Abstract

Recently, we proposed an agent-based model called the word of mouth model to analyze the influence of an information transmission process to price formation in financial markets. Especially, the short-term predictability of asset return was focused on and an explanation in the view of information transmission was provided to the question why the predictability was much clearly observed in the small-sized stocks. This paper, to extend the previous study, demonstrates that the word of mouth model also has a consistency with other important financial stylized facts. This strengthens the possibility that the information transmission among investors plays a crucial role in price formation. Concretely, this paper addresses two famous statistical features of returns; the leptokurtic distribution of return and the autocorrelation of return volatility. The reasons why these statistical facts receive especial attentions of researchers among financial stylized facts are their statistical robustness and practical importance, such as the applications to the derivative pricing problems.

Journal

  • Transactions of the Japanese Society for Artificial Intelligence

    Transactions of the Japanese Society for Artificial Intelligence 22, 256-262, 2007-11-01

    The Japanese Society for Artificial Intelligence

References:  41

Cited by:  1

Codes

  • NII Article ID (NAID)
    10022007492
  • NII NACSIS-CAT ID (NCID)
    AA11579226
  • Text Lang
    JPN
  • Article Type
    Journal Article
  • ISSN
    13460714
  • NDL Article ID
    9603397
  • 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.
    Z74-C589
  • Data Source
    CJP  CJPref  NDL  J-STAGE 
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