| Project/Area Number |
22530299
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
|
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| Research Institution | Otaru University of Commerce |
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Principal Investigator |
WADA Ryosuke 小樽商科大学, 商学部, 教授 (00241414)
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| Project Period (FY) |
2010 – 2012
|
| Project Status |
Completed (Fiscal Year 2012)
|
| Budget Amount *help |
¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | 動的均衡 / 付和雷同 / 投機的市場 / 相場の読み合い / ポアソン過程 / コピュラ / 連続時間取引 / 株式市場 / 指数分布 / ミクロ構造 / 連続時間マルコフ過程 / 取引高 / volatility / 非同質的予想 / 外国為替市場 / 連続時間確率過程 / 相互依存性 / 非同質的期待 |
|---|
| Research Abstract |
We developed a dynamic equilibrium model of bandwagon phenomena in stock market: Traders with the shortest investment horizon try to figure out upper or lower bound of stock prices. This leads to band wagon. We could not, however, complete a paper to ready for presentations or publishing, by March 2013.
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