Market price fluctuations: contact point between agent based approach and stochastic processes

摘要

I present a contact point between agent based approach and stochastic processes. From three viewpoints market price fluctuations are approached; statistical properties of foreign exchange rates (macroscopic), a artificial market (microscopic) and stochastic processes (mesoscopic). A simple artificial market model is introduced and investigated both numerically and analytically. A stochastic process for price dynamics is derived from the artificial market model and its statistical property is exhibited. I believe that this study establishes a bridge between artificial market model and stochastic processes.