Bulletin of the American Physical Society
APS March Meeting 2010
Volume 55, Number 2
Monday–Friday, March 15–19, 2010; Portland, Oregon
Session H12: Statistical and Nonlinear Physics of Social Systems
8:00 AM–11:00 AM,
Tuesday, March 16, 2010
Sponsoring Unit: GSNP
Chair: Beate Schmittmann, Virginia Polytechnic Institute and State University
Abstract ID: BAPS.2010.MAR.H12.5
Abstract: H12.00005 : Modeling of First-Passage Processes in Financial Markets*
8:48 AM–9:00 AM
Preview Abstract Abstract
(Universita del Piemonte Orientale)
In this talk, we attempt to make a microscopic modeling the first-passage process (or the first-exit process) of the BUND future by minority game with market history. We find that the first-passage process of the minority game with appropriate history length generates the same properties as the BTP future (the middle and long term Italian Government bonds with fixed interest rates), namely, both first-passage time distributions have a crossover at some specific time scale as is the case for the Mittag-Leffler function. We also provide a macroscopic (or a phenomenological) modeling of the first-passage process of the BTP future and show analytically that the first-passage time distribution of a simplest mixture of the normal compound Poisson processes does not have such a crossover.
*One of the authors (J.I.) was financially supported by Grant-in-Aid Scientific Research on Priority Areas ``Deepening and Expansion of Statistical Mechanical Informatics (DEX-SMI)" of The MEXT No. 18079001.
To cite this abstract, use the following reference: http://meetings.aps.org/link/BAPS.2010.MAR.H12.5
The American Physical Society (APS) is a non-profit membership organization working to advance the knowledge of physics.
1 Physics Ellipse, College Park, MD 20740-3844
Editorial Office 1 Research Road, Ridge, NY 11961-2701 (631) 591-4000
Office of Public Affairs 529 14th St NW, Suite 1050, Washington, D.C. 20045-2001 (202) 662-8700