STATISTICAL PROPERTIES OF DETERMINISTIC THRESHOLD ELEMENTS - THE CASE OF MARKET PRICE

被引：98

作者：

TAKAYASU, H

MIURA, H

HIRABAYASHI, T

HAMADA, K

机构：

[1] KOBE UNIV,GRAD SCH SCI & TECHNOL,KOBE 657,JAPAN

[2] YALE UNIV,DEPT ECON,NEW HAVEN,CT 06520

来源：

PHYSICA A | 1992年 / 184卷 / 1-2期

关键词：

D O I：

10.1016/0378-4371(92)90161-I

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We analyze statistical properties of a set of deterministic threshold elements which is introduced as a model for the stock market. The macroscopic variable of the stock market price shows seemingly stochastic fluctuation with a f-2 power spectrum consistent with real economic fluctuations. The maximum Lyapunov exponent is estimated to be zero indicating that the system is at the edge of chaos.

引用

页码：127 / 134

页数：8

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