「非線形・統計力学とその周辺」セミナーのご案内

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))