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Erschienen in:
2006 | OriginalPaper | Buchkapitel
Stock price process and the long-range percolation
verfasst von : Koji Kuroda, Joshin Murai
Erschienen in: Practical Fruits of Econophysics
Verlag: Springer Tokyo
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Using a Gibbs distribution developed in the theory of statistical physics and a long-range percolation theory, we present a new model of a stock price process for explaining the fat tail in the distribution of stock returns.
We consider two types of traders, Group A and Group B: Group A traders analyze the past data on the stock market to determine their present trading positions. The way to determine their trading positions is not deterministic but obeys a Gibbs distribution with interactions between the past data and the present trading positions. On the other hand, Group B traders follow the advice reached through the long-range percolation system from the investment adviser. As the resulting stock price process, we derive a Lévy process.