Long Memory in Trade Signs and Short Memory in Stock Prices(Financial and Consumer Markets,Proceedings of the YITP Workshop on Econophysics,Econophysics 2011-The Hitchhiker's Guide to the Economy-)
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概要
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We consider a mathematical model for stock markets and derive a signed volume process having a long memory property and a stock price process having a short memory property. Using the method of cluster expansion developed in the study of phase transitions, we describe our results about scale limits of the processes by using Brownian motion and fractional Brownian motion, which is known as a stochastic process having a long memory property.
- 2012-06-14
著者
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Kuroda Koji
Graduate School Of Design Kyushu University
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Murai Joshin
Graduate School Of Humanities And Social Sciences Okayama University
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MASKAWA Jun-ichi
Department of Economics, Seijo University
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- Long Memory in Trade Signs and Short Memory in Stock Prices