第56回「非線形・統計力学とその周辺」セミナーのご案内
日時:2004年11月12日(金)15:00から
場所:京都大学工学部総合校舎207室
講演者:Prof. Janusz A. Holyst (Warsaw University of Technology)
講演題目:
Volatility clusteringand Scaling for Financial Time Series due to Attractor Bubbling
講演要旨:
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time heat bath dynamics, similar to random Ising systems. The interactions between agents change randomly in time. In the thermodynamic limit, the obtained time series of price returns show chaotic bursts resulting from the emergence of attractor bubbling or on-off intermittency, resembling the empirical financial time series with volatility clustering. For a proper choice of the model parameters, the probability distributions of returns exhibit power-law tails with scaling exponents close to the empirical ones. (see Physical Review Letters 89, 158701 (2002))