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Statistical properties of deterministic threshold elements — the case of market price

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  • Takayasu, Hideki
  • Miura, Hitoshi
  • Hirabayashi, Tadashi
  • Hamada, Koichi

Abstract

We analyze statistical properties of a set of deterministic threshold elements which is introduced as a model for the stock market. The macroscopic variable of the stock market price shows seemingly stochastic fluctuation with a f-2 power spectrum consistent with real economic fluctuations. The maximum Lyapunov exponent is estimated to be zero indicating that the system is at the edge of chaos.

Suggested Citation

  • Takayasu, Hideki & Miura, Hitoshi & Hirabayashi, Tadashi & Hamada, Koichi, 1992. "Statistical properties of deterministic threshold elements — the case of market price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 184(1), pages 127-134.
    • Handle: RePEc:eee:phsmap:v:184:y:1992:i:1:p:127-134
    DOI: 10.1016/0378-4371(92)90161-I
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