ランダムな組み合わせ論による金融市場モデルとその周辺(<特集>金融工学の新しい流れ)

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概要

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• Collections of participants in financial markets are represented as random partitions by the strategies or behavioral rules they employ. By suitable assignments of transition rates for entry, exit and type changes, the jump Markov process is defined which describe dynamics of the state of the market via the master (backward Chapman-kolmogorov) equation. This paper draws from the population genetics literature to discuss Ewens sampling formula, and Poisson-Dirichlet distribution of Kingman to discuss the circumstances in which a small number of large clusters of agents develop and they domimate the market. Price variations in such cases may exhibit power-laws. Power laws are known to govern price variations in financial markerts. Changes in volatilities of prices may also be due to switching of strategies by a small number of clusters of agents.

• 2001-12-14

著者

• 青木 正直

  Ucla経済学部

関連論文

• ランダムな組み合わせ論による金融市場モデルとその周辺(金融工学の新しい流れ)
• A New Model of Labor Dynamics: Ultrametrics, Okun's Law, and Transient Dynamics (経済物理学--社会・経済への物理学的アプローチ)

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