株価変動とカオス

概要

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The purpose of this paper is to develop models that explain the reasons why phenomena such as chaotic dynamics of prices, Bubble, and crash occur in the stock market. To begin with, a simple deterministic model of stock prices adjustment processes is presented and sufficient conditions for dynamics of stock prices to lead to chaos are demon-strated. Then, stochastic version of the model is formulated and the results of computer simulaton of the stochastic model are shown in figures. Finally, intuitive accounts of bubble, crash, chaotic behavior of average stock prices and so on are given.
日本シミュレーション学会の論文
1993-06-15