{"created":"2025-01-18T23:02:07.978125+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00033243","sets":["1164:2735:2754:2759"]},"path":["2759"],"owner":"1","recid":"33243","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":"2005-03-09"},"_buckets":{"deposit":"12ff866f-8691-426d-b109-2df0c8c9b1f1"},"_deposit":{"id":"33243","pid":{"type":"depid","value":"33243","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 based on the deterministic dealer model","subitem_title_language":"en"}]},"item_type_id":"4","publish_date":"2005-03-09","item_4_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_4_text_4":{"attribute_name":"著者所属(英)","attribute_value_mlt":[{"subitem_text_value":"Department 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/33243/files/IPSJ-MPS04053004.pdf"},"date":[{"dateType":"Available","dateValue":"2007-03-09"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-MPS04053004.pdf","filesize":[{"value":"300.9 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":"fa159086-7a23-4191-9c9a-b50ee44edf83","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2005 by the Information Processing Society of Japan"}]},"item_4_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"佐藤彰洋"}],"nameIdentifiers":[{}]}]},"item_4_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Aki-Hiro, Sato","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_4_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN10505667","subitem_source_identifier_type":"NCID"}]},"item_4_textarea_12":{"attribute_name":"Notice","attribute_value_mlt":[{"subitem_textarea_value":"SIG Technical Reports are nonrefereed and hence may later appear in any journals, conferences, symposia, etc."}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_18gh","resourcetype":"technical report"}]},"item_4_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"Takayasu ら(1992) によって提案された決定論的ディーラーモデルは市場のエージェントモデルのひとつである。その価格変動の確率分布関数はべき則性は満足するが  volatility clustering を満足しないという問題点があった. 本稿では決定論的ディーラーモデルを拡張し  べき則性とvolatility clusteringの両方を満足するディーラーモデルを提案する. 更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  Engle と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_4_description_8":{"attribute_name":"論文抄録(英)","attribute_value_mlt":[{"subitem_description":"The deterministic dealer model proposed by Takayasu et. al. (1992) is one of agent-based models. Cumulative distribution functions of its price fluctuations follows power law but their volatility clustering is not satisfied. In this paper a modified dealer model is proposed and it is clarified that it is satisfied by both the power law and the volatility clustering. Moreover by an approximation that deterministic variables of the model is assumed as stochastic variables it is shown that we have a quasi-GARCH(1,1) stochastic process proposed by Engle and Bollerslev(1986).","subitem_description_type":"Other"}]},"item_4_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"16","bibliographic_titles":[{"bibliographic_title":"情報処理学会研究報告数理モデル化と問題解決（MPS）"}],"bibliographicPageStart":"13","bibliographicIssueDates":{"bibliographicIssueDate":"2005-03-09","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"20(2004-MPS-053)","bibliographicVolumeNumber":"2005"}]},"relation_version_is_last":true,"weko_creator_id":"1"},"id":33243,"updated":"2025-01-22T15:47:37.073826+00:00","links":{}}