The extraction of macromodel and origin of long-ranged correlations

In this work, we show two main results. One is that we were able to extract the macroscopic stochastic process of returns and volumes from the microscopic stochastic process of the traders’ judgments, using a simple case market simulation. The other is that we successfully reproduced ‘stylized facts’ in speculative markets through a simple market simulation. In our model, the origin of long-ranged correlations is traced to the traders’ profit pursuit trades and these correlations have no special time scale.