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The extraction of macromodel and origin of long-ranged correlations

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  • Yamasaki, Kazuko
  • Mackin, Kenneth J.

Abstract

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.

Suggested Citation

  • Yamasaki, Kazuko & Mackin, Kenneth J., 2003. "The extraction of macromodel and origin of long-ranged correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 417-423.
    • Handle: RePEc:eee:phsmap:v:324:y:2003:i:1:p:417-423
    DOI: 10.1016/S0378-4371(02)01952-0
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    References listed on IDEAS

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    1. Sato, Aki-Hiro & Takayasu, Hideki, 1998. "Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 250(1), pages 231-252.
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