Market price fluctuations: contact point between agent based approach and stochastic processes

Author

Sato, Aki-Hiro

Author_Institution

Dept. of Appl. Math. & Phys., Kyoto Univ., Japan

fYear

2001

fDate

2001

Firstpage

14

Lastpage

18

Abstract

The author presents a contact point between an agent based approach and stochastic processes. Market price fluctuations are approached from three viewpoints: statistical properties of foreign exchange rates (macroscopic); an artificial market (microscopic); and stochastic processes (mesoscopic). A simple artificial market model is introduced and investigated both numerically and analytically. A stochastic process for price dynamics is derived from the artificial market model and its statistical property is exhibited. The study establishes a bridge between an artificial market model and stochastic processes

Keywords

costing; economic cybernetics; modelling; software agents; stochastic processes; agent based approach; artificial market model; econometrics; foreign exchange rates; market price fluctuations; price dynamics; statistical properties; statistical property; stochastic processes; Distribution functions; Fluctuations; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence and Multimedia Applications, 2001. ICCIMA 2001. Proceedings. Fourth International Conference on

Conference_Location

Yokusika City

Print_ISBN

0-7695-1312-3

Type

conf

DOI

10.1109/ICCIMA.2001.970435

Filename

970435