Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness
Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness
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股票市场价格的动态数值模型：从微观决定论到宏观随机性
DOI：
10.1016/s0378-4371(97)00569-4
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发表时间：
1998
影响因子：
3.3
通讯作者：
H. Takayasu
中科院分区：
文献类型：
--
作者：
A. Sato;H. Takayasu
引入阈值动力学的一种变体，对股票市场中大量交易商的行为进行建模。虽然微观演化动力学是确定的，但市场价格等集体行为表现出看似随机的波动。市场价格变化的统计性质可以用一个简单的随机放大的离散朗万方程很好地近似。对宏观随机方程进行了数值和解析求解，表明市场价格在稳态下一般服从幂律分布。讨论了分布尾部出现快速衰减的原因。
A variant of threshold dynamics is introduced to model the behaviors of a large assembly of dealers in a stock market. Although the microscopic evolution dynamics is deterministic the collective behaviors such as market prices show seemingly stochastic fluctuations. The statistical properties of market price change can be well approximated by a simple discrete Langevin-type equation with random amplification. The macroscopic stochastic equation is solved both numerically and analytically showing that the market price change generally follow power-law distributions in the steady state. The reason for the appearance of rapid decay in the distribution tails are discussed.