Critical fluctuations of demand and supply
Critical fluctuations of demand and supply
复制标题
供需的严重波动
DOI：
10.1016/s0378-4371(99)00076-x
复制
发表时间：
1999
影响因子：
3.3
通讯作者：
M. Takayasu
中科院分区：
文献类型：
--
作者：
H. Takayasu;M. Takayasu
为了描述公开市场中的价格变化，我们引入了虚拟平衡价格，该价格由交易商一次期望的分布决定。交易商无法直接知道虚拟均衡价格，只能根据市场价格的时间序列进行猜测。通过这个假设，我们推导出一组由市场价格和虚拟平衡价格组成的随机时间演化方程，作为朗之万型方程的扩展。
In order to describe price changes in open markets we introduce a virtual balanced price which is determined by the distribution of dealers’ expectation at a time. The dealers do not know directly the virtual balanced price but they can only guess it from the time series of market prices. By this assumption we derive a set of stochastic time evolution equations composed of the market price and the virtual balanced price as an extension of Langevin type equations.