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Accession number;07A0176808
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| Title;Modeling Financial Markets Based on the Double-threshold Agent Model |
| Author;
SATO AKIHIRO
(Kyoto Univ., JPN)
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Journal Title;IPSJ Transactions on Database
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Journal Code:Z0778A
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ISSN:0387-5806
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VOL.48;NO.SIG2(TOM16);PAGE.9-16(2007)
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| Figure&Table&Reference;FIG.7, TBL.3, REF.20 |
| Pub. Country;Japan |
| Language;Japanese |
| Abstract;We analyze tick quotes of the USD/JPY market from 1998 to 2003. Calculating power spectrum densities we find some peaks for them at a few minutes. In order to explain this phenomenon we develop the double-threshold agent model. The double-threshold agent model is a microscopic model of a financial market which consists of agents who determine to buy, sell, or do nothing. Under the assumption that there is a common exogenous periodic information that does not affect decision-making of the agents we find a peak for power spectrum densities of agents' activity at half the frequency of the exogenous information. Furthermore signal-to-noise ratio calculated from them depends on uncertainty of decision-making of agents and has an extreme at optimal strength of the uncertainty, namely, stochastic resonance happens. We propose a hypothesis that appearance and disappearance of the peaks relates to stochastic resonance. (author abst.) |
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