English, Article edition: EMPIRICAL LAWS OF A STOCK PRICE INDEX AND A STOCHASTIC MODEL TAISEI KAIZOJI; MICHIYO KAIZOJI

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/143922
Physical Description
  • article
Language
  • English

Edition details

Title
  • EMPIRICAL LAWS OF A STOCK PRICE INDEX AND A STOCHASTIC MODEL
Author
  • TAISEI KAIZOJI
  • MICHIYO KAIZOJI
Physical Description
  • article
Notes
  • Recent works by econo-physicists [5,8,15,19] have shown that the probability function of the share returns and the volatility satisfies a power law with an exponent close to 4. On the other hand, we investigated quantitatively the return and the volatility of the daily data of the Nikkei 225 index from 1990 to 2003, and we found that the distributions of the returns and the volatility can be accurately described by the exponential distributions [11]. We then propose a stochastic model of stock markets that can reproduce these empirical laws. In our model the fluctuations of stock prices are caused by interactions among traders. We indicate that the model can reproduce the empirical facts mentioned above. In particular, we show that the interaction strengths among traders are a key variable that can distinguish the emergence of the exponential distribution or the power-law distribution.
  • Econophysics, Nikkei 225 index, returns, volatility, exponential distribution, power-law distribution, a stochastic model of stock markets
  • RePEc:wsi:acsxxx:v:06:y:2003:i:03:p:303-312
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment