| Project/Area Number |
25380404
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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 | International Christian University |
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Principal Investigator |
KAIZOJI Taisei 国際基督教大学, 教養学部, 教授 (10265960)
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| Project Period (FY) |
2013-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | 投機的バブル / 暴落 / ノイズ・トレーダー / 効率的市場仮説 / 相転移 / エントロピー最大化原理 / 離散選択モデル / 市場暴落 / 経済物理学 / 統計物理学 / ファイナンス / 金融経済学 / 金融バブル / イジング・モデル / バブル / バブル崩壊 |
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| Outline of Final Research Achievements |
The aim of this study is to propose a theoretical model to elucidate the causes of speculative bubbles and the crashes that inevitably follow. We also demonstrate that the investor’s psychological fluctuation (corresponding to temperature under the maximum entropy principle) is the root cause of speculative bubble and crash. More concretely if the investor’s psychological fluctuation is small, then the stock market generates multiple equilibria, and the herd behaviour of the investors gives rise to a bubble, which is prolonged by their positive-feedback trading but inevitably ends with a crash, which is the first-order phase transition in the asset market. We also describe how cycles of bubbles and crashes are repeated. We also estimate the parameters of the model using the actual financial data and confirm that market crashes are probably predicted by the theoretical model proposed by this study.
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