025-06

| Topic path: Top / 025-06

[[第25回研究会>025]]

* 自発的に市場規模が定まる金融取引モデル [#lf91f1c1]

** 著者 [#refe1dac]
片平啓(筑波大学), 陳昱(東京大学), 秋山英三(筑波大学)	

**概要 [#id7b43a9]
Various preceding market models can reproduce basic financial stylized facts such as volatility clustering, but most of those models require strict tuning of parameters for the reproduction. Inspired by the idea of the sandpile model, we present a simple agent-based model of the financial market named Self-organized Speculation Game, where the number of traders is spontaneously tuned. While this model has high reproducibility of stylized facts, it holds similar behavioral properties to those of the sandpile model. The simulation results infer the possible contribution of self-organized criticality for the spontaneous emergence of stylized facts.

**キーワード [#oda7fc10]
Financial stylized facts, Speculation Game, Self-organized criticality, Sandpile model

**論文 [#n4a64c3f]

(10月7日以降に公表いたします)
//&ref(06_SIG-FIN-25.pdf);
//(10月7日以降に公表いたします)
&ref(06_SIG-FIN-25.pdf);
トップ   編集 差分 バックアップ 添付 複製 名前変更 リロード   新規 一覧 単語検索 最終更新   ヘルプ   最終更新のRSS