019-02

2017-10-11 (水) 09:05:57 (12d) | Topic path: Top / 019-02

第19回研究会

約定価格の量子化ボラティリティモデル

著者

森谷博之(Quasars22)

概要

Financial markets are diversifying dynamical systems that have many constraints. Volatilities are modeled in terms of the size of the tick, the number of trades, and several other constraints. The multiplicity has a role of bridging between the distribution of pips and the macro properties of dynamical systems. In general many models use specific interactions among economic agents to explain the anomalous behavior of markets and asset prices. However, the basic assumption of this model is not to specific interactions between economic agents and requires heterogeneous agents who transact the distinguishable trades. The approach is very useful to analyze the state of price movements in very short term period.

キーワード

Configuration multiplicity, heterogeneous economic agents, pips, the minimize of tick

論文

fileSIG-FIN-019-02.pdf

添付ファイル: fileSIG-FIN-019-02.pdf 67件 [詳細]
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