2013 Fiscal Year Final Research Report
Empirical study and construction of stochastic processes on the long memory property of the time series of trade signs in a stock market.
| Project/Area Number |
21510146
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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 |
Social systems engineering/Safety system
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| Research Institution | Okayama University |
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Principal Investigator |
MURAI Joshin 岡山大学, 社会文化科学研究科, 教授 (00294447)
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| Project Period (FY) |
2009-04-01 – 2014-03-31
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| Keywords | 非整数ブラウン運動 / Hurst指数 / 取引符号 / 長期記憶 |
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| Research Abstract |
We study the influence of the trader's investment strategy on the long memory property of the time series of trade signs in a stock market, using the stochastic process. We present a discrete time stochastic process for polymer model which describes trader's trading strategy to split his or her order into small pieces, and prove that its scaled process converges to superposition of multiple fractional Brownian motions with different Hurst exponents and a standard Brownian motion. We also show that their Hurst exponents are derived from the distribution of the time interval of split orders.
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