| Project/Area Number |
16K01259
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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 |
Social systems engineering/Safety system
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| Research Institution | Seijo University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
黒田 耕嗣 日本大学, 文理学部, 教授 (50153416)
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| Project Period (FY) |
2016-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2018: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2017: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 株式市場 / マルチフラクタル / 確率過程 / 金融時系列 / マルコフ過程 / Random cascade model / 動的リスク指標 |
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| Outline of Final Research Achievements |
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. We investigate the validity of a multiplicative hierarchical random cascade model (W-cascade model) through an empirical study using financial data. (1) We have extended the multiplicative model to incorporate an additional stochastic term. Results show that the proposed model is consistent with the relevant empirical results. (2) We have proposed a novel continuous cascade model of volatility formulated as a stochastic differential equation. The results reproduced the pdf of the empirical volatility, the multifractality of the time series, and other empirical facts. (3) We have constructed a log-volatility process for Multifractal Random Walk and consider an exogenous shock and the relaxation process of the volatility.
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| Academic Significance and Societal Importance of the Research Achievements |
本研究は、株式市場を異なる取引時間スケールを持つ複数の投資主体の集合とみなし，それらの投資主体の相互作用の結果として生じる非線形性に着目した研究である。成果として実証研究の結果と整合的な数理モデルを構築した。この研究により、あらたな市場の動的リスク指標を提案すること、それに加え、暴騰暴落の予兆を検知、抑止し、安定な市場を実現するための施策、制度を立案する上での実証的な基盤が確立できる。
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