Continuum Limit and Renormalization of Market Price Dynamics Based on PUCK Model(Financial and Consumer Markets,Econophysics-Physical Approach to Social and Economic Phenomena-)
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概要
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We consider the new type of stochastic model of market price which is originally proposed by M. Takayasu et al. [Physica A 370 (2006), 91] and is called PUCK model as the abbreviation of Potentials of Unbalanced Complex Kinetics model. It is shown that the Langevin equation with fluctuating viscosity and mass is derived as a continuous limit of this model. We also solve the macroscopic limit of PUCK model using a renormalization formulation based on moving average showing that there are four possible macro-limit behaviors of markets; exponential growth, double-exponential growth, oscillatory divergence and stationary state. The macroscopic stationary state includes random walk type fluctuations in microscopic scale.
- 理論物理学刊行会の論文
- 2009-05-22
著者
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Takayasu Hideki
Sony Computer Science Laboratories
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TAKAYASU Misako
Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of S
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Takayasu Misako
Department Of Computational Intelligence & Systems Science Interdisciplinary Graduate School Of
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Takayasu Misako
Department Of Computational Intelligence & Systems Science Interdisciplinary Graduate School Of
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TAKAYASU Misako
Department of Computational Intelligence & Systems Science, Interdisciplinary Graduate School of Science & Engineering, Tokyo Institute of Technology
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