Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
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| Pubblicato in: | arXiv.org (Mar 17, 2006), p. n/a |
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Cornell University Library, arXiv.org
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| Accesso online: | Citation/Abstract Full text outside of ProQuest |
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| 022 | |a 2331-8422 | ||
| 024 | 7 | |a 10.1007/3-540-27296-8_16 |2 doi | |
| 035 | |a 2092909305 | ||
| 045 | 0 | |b d20060317 | |
| 100 | 1 | |a Kaizoji, Taisei | |
| 245 | 1 | |a Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents | |
| 260 | |b Cornell University Library, arXiv.org |c Mar 17, 2006 | ||
| 513 | |a Working Paper | ||
| 520 | 3 | |a This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two periods, an inflationary period and a deflationary period. We have previously [18] found that the distribution of absolute log-returns can be approximated by the power-law distribution in the inflationary period, while the distribution of absolute log-returns is well described by the exponential distribution in the deflationary period.\par To further explore these empirical findings, we have introduced a model of stock markets which was proposed in [19,20]. In this model, the stock market is composed of two groups of traders: {\it the fundamentalists}, who believe that the asset price will return to the fundamental price, and {\it the interacting traders}, who can be noise traders. We show through numerical simulation of the model that when the number of interacting traders is greater than the number of fundamentalists, the power-law distribution of absolute log-returns is generated by the interacting traders' herd behavior, and, inversely, when the number of fundamentalists is greater than the number of interacting traders, the exponential distribution of absolute log-returns is generated. | |
| 653 | |a Deflation | ||
| 653 | |a Securities markets | ||
| 653 | |a Stock exchanges | ||
| 653 | |a Markets | ||
| 653 | |a Mathematical models | ||
| 653 | |a Power law | ||
| 653 | |a Probability distribution functions | ||
| 653 | |a Computer simulation | ||
| 653 | |a Stock market indexes | ||
| 773 | 0 | |t arXiv.org |g (Mar 17, 2006), p. n/a | |
| 786 | 0 | |d ProQuest |t Engineering Database | |
| 856 | 4 | 1 | |3 Citation/Abstract |u https://www.proquest.com/docview/2092909305/abstract/embedded/6A8EOT78XXH2IG52?source=fedsrch |
| 856 | 4 | 0 | |3 Full text outside of ProQuest |u http://arxiv.org/abs/physics/0603139 |