{"created":"2021-03-01T07:02:34.250280+00:00","id":42653,"links":{},"metadata":{"_buckets":{"deposit":"884a8baa-1bd6-495c-a8aa-f75a564422af"},"_deposit":{"id":"42653","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42653"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042653","sets":["62:377:7438","9:7435:7439"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2014-06","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"042","bibliographic_titles":[{"bibliographic_title":"JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series"}]}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"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)","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"UTokyo Price Project"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.price.e.u-tokyo.ac.jp/researchdata/","subitem_relation_type_select":"URI"}}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Hitotsubashi University"},{"subitem_text_value":"University of Tokyo"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Nirei, Makoto"}],"nameIdentifiers":[{"nameIdentifier":"98093","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Watanabe, Tsutomu"}],"nameIdentifiers":[{"nameIdentifier":"98094","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-06-16"}],"displaytype":"detail","filename":"wp042.pdf","filesize":[{"value":"661.1 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"wp042.pdf","url":"https://repository.dl.itc.u-tokyo.ac.jp/record/42653/files/wp042.pdf"},"version_id":"76c44c40-c6cf-4f3b-b34c-649886428f2b"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Herd behavior","subitem_subject_scheme":"Other"},{"subitem_subject":"transaction volume","subitem_subject_scheme":"Other"},{"subitem_subject":"stock return","subitem_subject_scheme":"Other"},{"subitem_subject":"fat tail","subitem_subject_scheme":"Other"},{"subitem_subject":"power law","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL classification code: G14","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Beauty Contests and Fat Tails in Financial Markets","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Beauty Contests and Fat Tails in Financial Markets"}]},"item_type_id":"8","owner":"1","path":["7439","7438"],"pubdate":{"attribute_name":"公開日","attribute_value":"2015-05-11"},"publish_date":"2015-05-11","publish_status":"0","recid":"42653","relation_version_is_last":true,"title":["Beauty Contests and Fat Tails in Financial Markets"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:16:29.957157+00:00"}