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q-fin.TR2008★ 38 cited
Solvable Stochastic Dealer Models for Financial Markets
Kenta Yamada, Hideki Takayasu, Takatoshi Ito +1
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest mode…
q-fin.ST2008★ 38 cited
Random walker in a temporally deforming higher-order potential forces observed in financial crisis
Kota Watanabe, Hideki Takayasu, Misako Takayasu
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose ce…