Fat tail phenomena in a stochastic model of stock market : the long-range percolation approach
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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.
収録刊行物
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- 岡山大学経済学会雑誌
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岡山大学経済学会雑誌 39 (4), 151-176, 2008-03
岡山大学経済学会
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詳細情報 詳細情報について
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- CRID
- 1390290699571938944
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- NII論文ID
- 40015872235
- 120002304827
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- NII書誌ID
- AN00032897
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- ISSN
- 03863069
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- NDL書誌ID
- 9396343
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- IRDB
- NDL
- CiNii Articles