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THE BEHAVIOR OF A THRESHOLD MODEL OF MARKET PRICE IN STOCK EXCHANGE

TADASHI HIRABAYASHI

The Graduate School of Science and Technology, Kobe University, Nada, Kobe 657, Japan

Phone:078-881-1212 (ext.2781).

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HIDEKI TAKAYASU

Department of Earth Sciences, Kobe University, Nada, Kobe 657, Japan

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HITOSHI MIURA

The Graduate School of Science and Technology, Kobe University, Nada, Kobe 657, Japan

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KOICHI HAMADA

Department of Economics, Yale University, New Haven, CT 06520, U.S.A.

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https://doi.org/10.1142/S0218348X9300006XCited by:25 (Source: Crossref)

Abstract

We analyze the behavior of deterministic threshold dynamics in a model of stock market. We observe global trends in the virtual market prices and find a kind of phase transition. At the critical region, the macroscopic variable of stock market price shows seemingly stochastic fluctuation with f^-2 power spectrum consistent with real economic fluctuations. The maximum Lyapunov exponent is estimated to be slightly positive in short time steps (5 or 10 steps) and, as the observation time becomes longer, it converges to zero. This result indicates that the system is at the edge of chaos.