Statistical properties of deterministic threshold elements — the case of market price

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.

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Year of publication:	1992
Authors:	Takayasu, Hideki ; Miura, Hitoshi ; Hirabayashi, Tadashi ; Hamada, Koichi
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 184.1992, 1, p. 127-134
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011058804