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Beauty Contests and Fat Tails in Financial Markets
http://hdl.handle.net/2261/55995
http://hdl.handle.net/2261/55995746746b0-113e-463e-8b77-2649c66a08ed
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp042.pdf (661.1 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2015-05-11 | |||||
| タイトル | ||||||
| タイトル | Beauty Contests and Fat Tails in Financial Markets | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Herd behavior | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | transaction volume | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | stock return | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | fat tail | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | power law | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL classification code: G14 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Nirei, Makoto
× Nirei, Makoto× Watanabe, Tsutomu |
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| 著者所属 | ||||||
| 著者所属 | Hitotsubashi University | |||||
| 著者所属 | ||||||
| 著者所属 | University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Using a simultaneous-move herding model of rational traders who infer other traders'private information on the value of an asset by observing their aggregate actions, this study seeks to explain the emergence of fat-tailed distributions of transaction volumes and asset returns in financial markets. Without making any parametric assumptions on private information, we analytically show that traders'aggregate actions follow a power law distribution. We also provide simulation results to show that our model successfully reproduces the empirical distributions of asset returns. We argue that our model is similar to Keynes's beauty contest in the sense that traders, who are assumed to be homogeneous, have an incentive to mimic the average trader, leading to a situation similar to the indeterminacy of equilibrium. In this situation, a trader's buying action causes a stochastic chain-reaction, resulting in power laws for financial fluctuations. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 042, 発行日 2014-06 |
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| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
