{"id":17182,"metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00017182","sets":["934:989:1002:1003"]},"path":["1003"],"owner":"1","recid":"17182","title":["決定論的ディーラーモデルによる市場価格変動のモデル化"],"pubdate":{"attribute_name":"公開日","attribute_value":"2005-12-15"},"_buckets":{"deposit":"49d9c980-c835-4f92-a546-b689a34e8b57"},"_deposit":{"id":"17182","pid":{"type":"depid","value":"17182","revision_id":0},"owners":[1],"status":"published","created_by":1},"item_title":"決定論的ディーラーモデルによる市場価格変動のモデル化","author_link":["0","0"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"決定論的ディーラーモデルによる市場価格変動のモデル化"},{"subitem_title":"Modeling Market Price Fluctuations from the Microscopic Point of View","subitem_title_language":"en"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"サーベイ論文","subitem_subject_scheme":"Other"}]},"item_type_id":"3","publish_date":"2005-12-15","item_3_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"京都大学大学院情報学研究科数理工学専攻"}]},"item_3_text_4":{"attribute_name":"著者所属(英)","attribute_value_mlt":[{"subitem_text_value":"Department of Applied Mathematics and Physics Graduate School of Informatics Kyoto University","subitem_text_language":"en"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/17182/files/IPSJ-TOM4617002.pdf"},"date":[{"dateType":"Available","dateValue":"2007-12-15"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-TOM4617002.pdf","filesize":[{"value":"321.5 kB"}],"mimetype":"application/pdf","priceinfo":[{"tax":["include_tax"],"price":"660","billingrole":"5"},{"tax":["include_tax"],"price":"330","billingrole":"6"},{"tax":["include_tax"],"price":"0","billingrole":"17"},{"tax":["include_tax"],"price":"0","billingrole":"44"}],"accessrole":"open_date","version_id":"8a161da2-28b5-44f4-8c26-758b5cee1de6","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2005 by the Information Processing Society of Japan"}]},"item_3_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"佐藤彰洋"}],"nameIdentifiers":[{}]}]},"item_3_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Aki-Hiro, Sato","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_3_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11464803","subitem_source_identifier_type":"NCID"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_6501","resourcetype":"journal article"}]},"item_3_source_id_11":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1882-7780","subitem_source_identifier_type":"ISSN"}]},"item_3_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"経済現象に動機付けされた問題は経済学だけでなく，情報学，物理学の研究者にも着目されるようになってきた．本稿では，近年の金融工学や計量経済学において発展してきた確率過程の研究について言及し，これと反対に微視的観点からとらえ，エージェントシミュレーションによってアプローチしている研究を紹介する．そしてエージェントシミュレーションと確率過程を橋渡しできる一例を示す．この例として，Takayasu ら（1992）によって提案された決定論的ディーラーモデルを取り上げそれを拡張したモデルを提案する．さらにこのモデルの決定論的に決まる変数を確率変数と見なす近似を行う操作によって，Bollerslev（1986）によって提案されたGARCH (1 1) モデルに類する確率過程が導出できることを示す．","subitem_description_type":"Other"}]},"item_3_description_8":{"attribute_name":"論文抄録(英)","attribute_value_mlt":[{"subitem_description":"The economically motivated problems have attracted the attention of many researchers in various fields: economics, informatics, and physics. This article shows stochastic processes developed in financial engineering and econometrics, and presents a possibility to bridge microscopic agent-based simulations to the stochastic processes. The extension of the deterministic dealer model proposed by Takayasu, et al. (1992) is considered. Moreover under the assumption that deterministic variables of the model are regarded as stochastic variables it is shown that the quasi-GARCH (1,1) process proposed by Bollerslev (1986) is derived for the market price changes.","subitem_description_type":"Other"}]},"item_3_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"9","bibliographic_titles":[{"bibliographic_title":"情報処理学会論文誌数理モデル化と応用（TOM）"}],"bibliographicPageStart":"1","bibliographicIssueDates":{"bibliographicIssueDate":"2005-12-15","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"SIG17(TOM13)","bibliographicVolumeNumber":"46"}]},"relation_version_is_last":true,"weko_creator_id":"1"},"updated":"2025-01-22T23:28:17.033695+00:00","created":"2025-01-18T22:50:14.875063+00:00","links":{}}