人工知能学会第二種研究会資料
Online ISSN : 2436-5556
確率的板モデルを用いた株式市場の統計性の分析
宮崎 文吾
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研究報告書・技術報告書 フリー

2014 年 2014 巻 DOCMAS-007 号 p. 01-

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We constructed a basic order-book model which is based on the Maslov model and includes some empirical results such as distributions of order volume. Although this basic model succussfuly reproduces power law distributions of price changes, the market price greatly oscillates and the Hurst exponent of this model is much smaller than that of real data. In order to resolve this problem, we revised the basic ordre-book model by adding the effect that the selection probability of order types (i.e. market order, limit order and cancel) depens on the bid-ask spread. Our revised model still reproduces power law distributions of price changes and the Hurst exponet is improved.

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