Study of asset price fluctuation due to cumulative shot noise effect
| Project/Area Number |
15K03562
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Kinjo Gakuin University |
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Principal Investigator |
NAKAMURA Syouji 金城学院大学, 付置研究所, 客員研究所員 (30350953)
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| Co-Investigator(Kenkyū-buntansha) |
中川 覃夫 愛知工業大学, 経営学部, 教授 (60076544)
近藤 仁 南山大学, 経済学部, 教授 (60121456)
中山 惠子 中京大学, 経済学部, 教授 (90207944)
大鑄 史男 名古屋工業大学, 工学(系)研究科(研究院), 教授 (60116001)
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥3,120,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥720,000)
Fiscal Year 2017: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | 累積ショットノイズ / 確率過程 / 最適方策 / 金融工学 / 資産価格変動 / ショットノイズ / 信頼性理論 / 累積損傷モデル / 累積過程 / 金利水準 |
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| Outline of Final Research Achievements |
Companies are actively raising funds and activating investment, then increasing credit risk. In the past, companies devised a jump diffusion process model by distinguishing between normal fluctuations and accidental fluctuations accompanying changes in economic outlook against economic fluctuations. In this study, we distinguish shots with large amplitude from shot noise with small amplitude, accumulate shot noise with noise below the level value in shot noise, accumulate it, and when it reaches a certain threshold value, As shown in Fig. As a result of research, we had published "Reliability Modeling with Computer and Maintenance Applications".
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Report
(4 results)
Research Products
(25 results)
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[Journal Article] General age replacement model with planned and random time2016
Author(s)
Chen, M., Qian, C., Nakamura, S., Nakagawa, T., Zhao, X
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Journal Title
Quality, Reliability, Risk, Maintenance, and Safety Engineering
Volume: 1
Pages: 16-16
Related Report
Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
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[Journal Article] Random times of garbage collection policies2016
Author(s)
.Nakamura, S., Zhao, X., Qian, C., Nakagawa
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Journal Title
The 7th Asia-Pacific International Symposium on Advanced Reliability and Maintenance Modeling
Volume: 1
Pages: 391-398
Related Report
Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
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