Study of asset price fluctuation due to cumulative shot noise effect

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K03562
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Kinjo Gakuin University
• Principal Investigator: NAKAMURA Syouji 金城学院大学, 付置研究所, 客員研究所員 (30350953)
• 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)
• Project Period (FY): 2015-04-01 – 2018-03-31
• 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

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".

Free Research Field

信頼性　金融工学