Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
Uloženo v:
| Vydáno v: | arXiv.org (Mar 17, 2006), p. n/a |
|---|---|
| Hlavní autor: | |
| Vydáno: |
Cornell University Library, arXiv.org
|
| Témata: | |
| On-line přístup: | Citation/Abstract Full text outside of ProQuest |
| Tagy: |
Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!
|
| Abstrakt: | 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. |
|---|---|
| ISSN: | 2331-8422 |
| DOI: | 10.1007/3-540-27296-8_16 |
| Zdroj: | Engineering Database |